Alternatives to the Black-Scholes model

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.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2001

Author dc:creator

• Durrell, Fernando

Advisor dc:contributor.advisor

• Ouwehand, Peter

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4881

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4881