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Option pricing with non-constant volatility
Bibliography: leaves 74-76.
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| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613286954958849 |
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| access_status_str | Open Access |
| author | Lin, Shih-Hsun |
| author2 | Ouwehand, Peter |
| author_browse | Lin, Shih-Hsun Ouwehand, Peter |
| author_facet | Ouwehand, Peter Lin, Shih-Hsun |
| author_sort | Lin, Shih-Hsun |
| collection | Thesis |
| description | Bibliography: leaves 74-76. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4902 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:43.673Z |
| 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:11427/4902 Option pricing with non-constant volatility Lin, Shih-Hsun Ouwehand, Peter Mathematics and Applied Mathematics Bibliography: leaves 74-76. For the past three decades, researchers have developed models to price options with non-constant asset price volatility. These models can be divided into deterministic volatility models and stochastic volatility models. Deterministic volatility models assume that volatility is determined by some variables observable in the market. Stochastic volatility models suggest that volatility follows a stochastic process, whose parameters are not directly observable in the market. However, most of these authors have compared the results of their models with the classical Black-Scholes model [6], which assumes that volatility is constant. This dissertation investigates whether there is any model that can completely describe the market. Therefore, instead of com paring the results of the models with that of the Black-Scholes model, we have compared them with the market. For the purpose of this research, the S&P 500 Index option prices extracted from market are used. We investigate and compare for models: the GARCH(l ,I) model, the Constant Elasticity of Variance model, the Hull and White model, and the Heston model. The former two belong to deterministic volatility models and the latter two are stochastic volatility models. We conclude that none of the models under consideration can fully describe the market prices. Moreover, no model dominates the others by producing better results for all options. 2014-07-31T08:08:50Z 2014-07-31T08:08:50Z 2002 Master Thesis Masters MSc http://hdl.handle.net/11427/4902 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Lin, Shih-Hsun Option pricing with non-constant volatility |
| thesis_degree_str | Master's |
| title | Option pricing with non-constant volatility |
| title_full | Option pricing with non-constant volatility |
| title_fullStr | Option pricing with non-constant volatility |
| title_full_unstemmed | Option pricing with non-constant volatility |
| title_short | Option pricing with non-constant volatility |
| title_sort | option pricing with non constant volatility |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4902 |
| work_keys_str_mv | AT linshihhsun optionpricingwithnonconstantvolatility |