{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/4953"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/4953","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck","abstract":"This dissertation considers the errors when using Black-Scholes prices and hedges for European equity options (Black&Scholes (1973), Merton (1973)) and American equity options (Karatzas (1988)) in an economy with stochastic interest rates. 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In particular, we consider an economy with Vasicek (1977) type interest rates."]},{"key":"dc:title","label":"Title","values":["Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ouwehand, Peter"],"dc:creator":["Acott, David M"],"dc:date.accessioned":["2014-07-31T08:11:19Z"],"dc:date.available":["2014-07-31T08:11:19Z"],"dc:date.issued":["2006"],"dc:description":["Word processed copy.","Includes bibliographical references (leaves 183-188)."],"dc:description.abstract":["This dissertation considers the errors when using Black-Scholes prices and hedges for European equity options (Black&Scholes (1973), Merton (1973)) and American equity options (Karatzas (1988)) in an economy with stochastic interest rates. 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