{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/5771"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/5771","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market","abstract":"The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market.","abstract_html":"The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market.","abstract_has_math":false,"creators":["Chen, Hung-Hsiang"],"institution":"School of Economics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Abraham, Haim"],"committee_chairs":[],"committee_members":[],"year":2005,"date_issued":"2005","date_published":"2005","updated_at":"2026-07-22T22:23:04Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/5771","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Abraham, Haim"]},{"key":"dc:creator","label":"Author","values":["Chen, Hung-Hsiang"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-07-31T12:26:36Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-07-31T12:26:36Z"]},{"key":"dc:date.issued","label":"Date","values":["2005"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["School of Economics"]},{"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":["MCom"]}]},{"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/11427/5771"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market."]},{"key":"dc:title","label":"Title","values":["An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market"]}]}],"canonical_facts":{"dc:contributor.advisor":["Abraham, Haim"],"dc:creator":["Chen, Hung-Hsiang"],"dc:date.accessioned":["2014-07-31T12:26:36Z"],"dc:date.available":["2014-07-31T12:26:36Z"],"dc:date.issued":["2005"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market."],"dc:identifier.uri":["http://hdl.handle.net/11427/5771"],"dc:language.iso":["eng"],"dc:publisher.department":["School of Economics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-22T22:23:04Z"}