Pricing equity options on multiple underlyings in the South African context

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dc.contributor.advisorBosman, Petrusen_ZA
dc.contributor.authorPreston, Bradleyen_ZA
dc.date.accessioned2014-07-31T08:10:47Z
dc.date.available2014-07-31T08:10:47Z
dc.date.issued2008en_ZA
dc.descriptionIncludes abstract.
dc.descriptionIncludes bibliographical references (leaves 81-83).
dc.description.abstractIt 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.en_ZA
dc.identifier.apacitationPreston, B. (2008). <i>Pricing equity options on multiple underlyings in the South African context</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4922en_ZA
dc.identifier.chicagocitationPreston, Bradley. <i>"Pricing equity options on multiple underlyings in the South African context."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008. http://hdl.handle.net/11427/4922en_ZA
dc.identifier.citationPreston, B. 2008. Pricing equity options on multiple underlyings in the South African context. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Preston, Bradley AB - 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. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Pricing equity options on multiple underlyings in the South African context TI - Pricing equity options on multiple underlyings in the South African context UR - http://hdl.handle.net/11427/4922 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4922
dc.identifier.vancouvercitationPreston B. Pricing equity options on multiple underlyings in the South African context. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4922en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titlePricing equity options on multiple underlyings in the South African contexten_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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