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The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
Includes bibliographical references (leaves [51] - 55).
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2015
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| _version_ | 1867613201280008192 |
|---|---|
| access_status_str | Open Access |
| author | Munhumwe, Blessing |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Munhumwe, Blessing |
| author_facet | Becker, Ronald Munhumwe, Blessing |
| author_sort | Munhumwe, Blessing |
| collection | Thesis |
| description | Includes bibliographical references (leaves [51] - 55). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/13042 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:21.936Z |
| 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:11427/13042 The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market Munhumwe, Blessing Becker, Ronald Financial Mathematics Includes bibliographical references (leaves [51] - 55). The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices. 2015-06-01T14:09:47Z 2015-06-01T14:09:47Z 2011 Master Thesis Masters MPhil http://hdl.handle.net/11427/13042 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Mathematics Munhumwe, Blessing The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market |
| thesis_degree_str | Master's |
| title | The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market |
| title_full | The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market |
| title_fullStr | The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market |
| title_full_unstemmed | The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market |
| title_short | The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market |
| title_sort | bates model fourier transform for option pricing under jump diffusions in the south african market |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/13042 |
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