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School of Economics
The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
Abstract
dc:description.abstractThe purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices.
Degree
thesis:*- Grantor dc:publisher.institution
- School of Economics
- Year dc:date.issued
- 2011
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Munhumwe, Blessing
- Advisor dc:contributor.advisor
-
- Becker, Ronald
Rights
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/13042
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/13042