Pricing 2-colour rainbows : nonparametric methods using copulae

dc.contributor.authorKnox, Sean Den_ZA
dc.date.accessioned2015-01-08T19:57:40Z
dc.date.available2015-01-08T19:57:40Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis paper investigates the use of copulae for non parametric pricing of multivariate contingent claims. Price estimates and no-arbitrage bounds for various types of two-colour rainbow options on the South African equity and bond markets were calculated. Implied marginal risk-neutral distributions were derived nonparametrically from each assets option price spread. This was achieved in a very simple manner by assuming that, for each of the underlying assets in question, a continuum of option prices exist. Cubic splines were used to fit this continuum to the implied volatilities of the actual options available. Two nonparametric copulae were considered: an empirical copula based directly upon the data and a kernel copula derived from a smooth two-dimensional kernel approximation of the historic density function. In addition, various parametric copulae were considered for comparison purposes. The differences between each of these approaches was found to vary from one type of rainbow to another.en_ZA
dc.identifier.apacitationKnox, S. D. (2005). <i>Pricing 2-colour rainbows : nonparametric methods using copulae</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/11778en_ZA
dc.identifier.chicagocitationKnox, Sean D. <i>"Pricing 2-colour rainbows : nonparametric methods using copulae."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2005. http://hdl.handle.net/11427/11778en_ZA
dc.identifier.citationKnox, S. 2005. Pricing 2-colour rainbows : nonparametric methods using copulae. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Knox, Sean D AB - This paper investigates the use of copulae for non parametric pricing of multivariate contingent claims. Price estimates and no-arbitrage bounds for various types of two-colour rainbow options on the South African equity and bond markets were calculated. Implied marginal risk-neutral distributions were derived nonparametrically from each assets option price spread. This was achieved in a very simple manner by assuming that, for each of the underlying assets in question, a continuum of option prices exist. Cubic splines were used to fit this continuum to the implied volatilities of the actual options available. Two nonparametric copulae were considered: an empirical copula based directly upon the data and a kernel copula derived from a smooth two-dimensional kernel approximation of the historic density function. In addition, various parametric copulae were considered for comparison purposes. The differences between each of these approaches was found to vary from one type of rainbow to another. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Pricing 2-colour rainbows : nonparametric methods using copulae TI - Pricing 2-colour rainbows : nonparametric methods using copulae UR - http://hdl.handle.net/11427/11778 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/11778
dc.identifier.vancouvercitationKnox SD. Pricing 2-colour rainbows : nonparametric methods using copulae. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11778en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titlePricing 2-colour rainbows : nonparametric methods using copulaeen_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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