{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/9115"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/9115","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Finite activity jump models for option pricing","abstract":"This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options.","abstract_html":"This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options.","abstract_has_math":false,"creators":["Koimburi, Mercy Muthoni"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Becker, Ronald"],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011","date_published":"2011","updated_at":"2026-07-22T22:23:16Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/9115","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Becker, Ronald"]},{"key":"dc:creator","label":"Author","values":["Koimburi, Mercy Muthoni"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-11-05T03:48:45Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-11-05T03:48:45Z"]},{"key":"dc:date.issued","label":"Date","values":["2011"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"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/11427/9115"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references"]},{"key":"dc:description.abstract","label":"Abstract","values":["This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options."]},{"key":"dc:title","label":"Title","values":["Finite activity jump models for option pricing"]}]}],"canonical_facts":{"dc:contributor.advisor":["Becker, Ronald"],"dc:creator":["Koimburi, Mercy Muthoni"],"dc:date.accessioned":["2014-11-05T03:48:45Z"],"dc:date.available":["2014-11-05T03:48:45Z"],"dc:date.issued":["2011"],"dc:description":["Includes bibliographical references"],"dc:description.abstract":["This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options."],"dc:identifier.uri":["http://hdl.handle.net/11427/9115"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Finite activity jump models for option pricing"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:23:16Z"}