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Pricing 2-colour rainbows : nonparametric methods using copulae
Includes bibliographical references.
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2015
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| _version_ | 1867614178230927360 |
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| access_status_str | Open Access |
| author | Knox, Sean D |
| author_browse | Knox, Sean D |
| author_facet | Knox, Sean D |
| author_sort | Knox, Sean D |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11778 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:47:54.735Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11778 Pricing 2-colour rainbows : nonparametric methods using copulae Knox, Sean D Financial Mathematics Includes bibliographical references. 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. 2015-01-08T19:57:40Z 2015-01-08T19:57:40Z 2005 Master Thesis Masters MSc http://hdl.handle.net/11427/11778 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Mathematics Knox, Sean D Pricing 2-colour rainbows : nonparametric methods using copulae |
| thesis_degree_str | Master's |
| title | Pricing 2-colour rainbows : nonparametric methods using copulae |
| title_full | Pricing 2-colour rainbows : nonparametric methods using copulae |
| title_fullStr | Pricing 2-colour rainbows : nonparametric methods using copulae |
| title_full_unstemmed | Pricing 2-colour rainbows : nonparametric methods using copulae |
| title_short | Pricing 2-colour rainbows : nonparametric methods using copulae |
| title_sort | pricing 2 colour rainbows nonparametric methods using copulae |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/11778 |
| work_keys_str_mv | AT knoxseand pricing2colourrainbowsnonparametricmethodsusingcopulae |