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

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. In particular, we consider an economy with Vasicek (1977) type interest rates.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2006

Author dc:creator

• Acott, David M

Advisor dc:contributor.advisor

• Ouwehand, Peter

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4953

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4953