Pricing equity options on multiple underlyings in the South African context

Master Thesis

2008

Permanent link to this Item
http://hdl.handle.net/11427/4922
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thesis_sci_2008_preston_b.pdf (2.74 MB)
Authors
Preston, Bradley
Supervisors
Bosman, Petrus
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University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew.
Description

Includes abstract.


Includes bibliographical references (leaves 81-83).

Keywords
Mathematics of Finance

Reference:

Preston, B. 2008. Pricing equity options on multiple underlyings in the South African context. University of Cape Town.

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