{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/17475"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/17475","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees","abstract":"This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee.","abstract_html":"This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee.","abstract_has_math":false,"creators":["Gamerov, Steven"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Dorrington, Rob"],"committee_chairs":[],"committee_members":[],"year":1995,"date_issued":"1995","date_published":"1995","updated_at":"2026-07-22T22:23:13Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/17475","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Dorrington, Rob"]},{"key":"dc:creator","label":"Author","values":["Gamerov, Steven"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2016-03-04T16:44:21Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2016-03-04T16:44:21Z"]},{"key":"dc:date.issued","label":"Date","values":["1995"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MBusSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/17475"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Bibliography: pages 117-[124]."]},{"key":"dc:description.abstract","label":"Abstract","values":["This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee."]},{"key":"dc:title","label":"Title","values":["An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees"]}]}],"canonical_facts":{"dc:contributor.advisor":["Dorrington, Rob"],"dc:creator":["Gamerov, Steven"],"dc:date.accessioned":["2016-03-04T16:44:21Z"],"dc:date.available":["2016-03-04T16:44:21Z"],"dc:date.issued":["1995"],"dc:description":["Bibliography: pages 117-[124]."],"dc:description.abstract":["This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee."],"dc:identifier.uri":["http://hdl.handle.net/11427/17475"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MBusSc"]},"updated_at":"2026-07-22T22:23:13Z"}