{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/4922"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/4922","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Pricing equity options on multiple underlyings in the South African context","abstract":"It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew.","abstract_html":"It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew.","abstract_has_math":false,"creators":["Preston, Bradley"],"institution":"Department of Mathematics and Applied Mathematics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Bosman, Petrus"],"committee_chairs":[],"committee_members":[],"year":2008,"date_issued":"2008","date_published":"2008","updated_at":"2026-07-22T22:23:31Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/4922","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Bosman, Petrus"]},{"key":"dc:creator","label":"Author","values":["Preston, Bradley"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-07-31T08:10:47Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-07-31T08:10:47Z"]},{"key":"dc:date.issued","label":"Date","values":["2008"]},{"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":["MSc"]}]},{"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/11427/4922"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes abstract.","Includes bibliographical references (leaves 81-83)."]},{"key":"dc:description.abstract","label":"Abstract","values":["It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew."]},{"key":"dc:title","label":"Title","values":["Pricing equity options on multiple underlyings in the South African context"]}]}],"canonical_facts":{"dc:contributor.advisor":["Bosman, Petrus"],"dc:creator":["Preston, Bradley"],"dc:date.accessioned":["2014-07-31T08:10:47Z"],"dc:date.available":["2014-07-31T08:10:47Z"],"dc:date.issued":["2008"],"dc:description":["Includes abstract.","Includes bibliographical references (leaves 81-83)."],"dc:description.abstract":["It is well documented that financial asset prices returns are not normally distributed. 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