{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/6903"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/6903","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Pricing methods for American options","abstract":"This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options.","abstract_html":"This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options.","abstract_has_math":false,"creators":["Duvel, Heimo"],"institution":"Department of Statistical Sciences","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Abraham, Haim","Troskie, Casper G"],"committee_chairs":[],"committee_members":[],"year":2003,"date_issued":"2003","date_published":"2003","updated_at":"2026-07-22T22:23:49Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/6903","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Abraham, Haim","Troskie, Casper G"]},{"key":"dc:creator","label":"Author","values":["Duvel, Heimo"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-09-03T19:41:02Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-09-03T19:41:02Z"]},{"key":"dc:date.issued","label":"Date","values":["2003"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Statistical Sciences"]},{"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":["MBusSc"]}]},{"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/11427/6903"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Bibliography: leaves 89-94."]},{"key":"dc:description.abstract","label":"Abstract","values":["This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options."]},{"key":"dc:title","label":"Title","values":["Pricing methods for American options"]}]}],"canonical_facts":{"dc:contributor.advisor":["Abraham, Haim","Troskie, Casper G"],"dc:creator":["Duvel, Heimo"],"dc:date.accessioned":["2014-09-03T19:41:02Z"],"dc:date.available":["2014-09-03T19:41:02Z"],"dc:date.issued":["2003"],"dc:description":["Bibliography: leaves 89-94."],"dc:description.abstract":["This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One particular method utilises regression when estimating the American option price. For this approach the impact of outliers and multicollinearity is examined and alternative regression models fitted. Monte Carlo Simulation is implemented to calculate early exercise probabilities of American options in the South African market. Results are compared for both call and put options. A test set of 3550 options is simulated with parameters mirroring the South African economy. On this set, the accuracy of all methods is assessed relative to a benchmark price, which is computed by a convergent lattice approach. Finally, American Symmetry is used to evaluate both put and call options."],"dc:identifier.uri":["http://hdl.handle.net/11427/6903"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Statistical Sciences"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Pricing methods for American options"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MBusSc"]},"updated_at":"2026-07-22T22:23:49Z"}