Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Alternatives to the Black-Scholes model
Bibliography: leaves 44-45.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613316251123712 |
|---|---|
| access_status_str | Open Access |
| author | Durrell, Fernando |
| author2 | Ouwehand, Peter |
| author_browse | Durrell, Fernando Ouwehand, Peter |
| author_facet | Ouwehand, Peter Durrell, Fernando |
| author_sort | Durrell, Fernando |
| collection | Thesis |
| description | Bibliography: leaves 44-45. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4881 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:10.861Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4881 Alternatives to the Black-Scholes model Durrell, Fernando Ouwehand, Peter Mathematics and Applied Mathematics Bibliography: leaves 44-45. In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are very different from the market prices. In general, the models did poorly in producing similar prices as the market. 2014-07-31T08:07:03Z 2014-07-31T08:07:03Z 2001 Master Thesis Masters MSc http://hdl.handle.net/11427/4881 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Durrell, Fernando Alternatives to the Black-Scholes model |
| thesis_degree_str | Master's |
| title | Alternatives to the Black-Scholes model |
| title_full | Alternatives to the Black-Scholes model |
| title_fullStr | Alternatives to the Black-Scholes model |
| title_full_unstemmed | Alternatives to the Black-Scholes model |
| title_short | Alternatives to the Black-Scholes model |
| title_sort | alternatives to the black scholes model |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4881 |
| work_keys_str_mv | AT durrellfernando alternativestotheblackscholesmodel |