{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/18690"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/18690","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"A comparison of three analytical approximations for basket option valuation","abstract":"Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed.","abstract_html":"Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed.","abstract_has_math":false,"creators":["Hagspihl, Christoph"],"institution":"Department of Mathematics and Applied Mathematics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Floor, Justin"],"committee_chairs":[],"committee_members":[],"year":2013,"date_issued":"2013","date_published":"2013","updated_at":"2026-07-22T22:22:43Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/18690","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Floor, Justin"]},{"key":"dc:creator","label":"Author","values":["Hagspihl, Christoph"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2016-04-07T10:17:46Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2016-04-07T10:17:46Z"]},{"key":"dc:date.issued","label":"Date","values":["2013"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Mathematics and Applied Mathematics"]},{"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":["MPhil"]}]},{"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/11427/18690"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed."]},{"key":"dc:title","label":"Title","values":["A comparison of three analytical approximations for basket option valuation"]}]}],"canonical_facts":{"dc:contributor.advisor":["Floor, Justin"],"dc:creator":["Hagspihl, Christoph"],"dc:date.accessioned":["2016-04-07T10:17:46Z"],"dc:date.available":["2016-04-07T10:17:46Z"],"dc:date.issued":["2013"],"dc:description.abstract":["Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed."],"dc:identifier.uri":["http://hdl.handle.net/11427/18690"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Mathematics and Applied Mathematics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["A comparison of three analytical approximations for basket option valuation"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:22:43Z"}