{"id":{"repo_id":"western-cape","oai_identifier":"oai:uwcscholar.uwc.ac.za:10566/14893"},"canonical_url":"https://search.dev.ndltd.org/etd/western-cape/oai:uwcscholar.uwc.ac.za:10566/14893","repository":{"repo_id":"western-cape","name":"University of the Western Cape","base_url":"https://uwcscholar.uwc.ac.za:8443/server/oai/request"},"display":{"title":"Stochastic Volatility Models for Contingent Claim Pricing and Hedging","abstract":"The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.","abstract_html":"The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.","abstract_has_math":false,"creators":["Manzini, Muzi Charles"],"institution":"University of the Western Cape","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Witbooi, Peter J."],"committee_chairs":[],"committee_members":[],"year":2008,"date_issued":"2008","date_published":"2008","updated_at":"2026-07-24T06:00:34Z","subjects":["Contingent Claim","Hedging","Brownian Motion","Black-Scholes Implied Volatility","Stochastic Volatility","Call Option Mixture","Risk-Neutral Pricing","Equity-linked Pension","Brennan-Schwartz"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":null,"outbound_label":null,"outbound_source":null},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Witbooi, Peter J."]},{"key":"dc:creator","label":"Author","values":["Manzini, Muzi Charles"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.issued","label":"Date","values":["2008"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of the Western Cape"]},{"key":"dc:relation.isreferencedby","label":"Dc Relation Isreferencedby","values":["https://hdl.handle.net/10566/14893"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Contingent Claim","Hedging","Brownian Motion","Black-Scholes Implied Volatility","Stochastic Volatility","Call Option Mixture","Risk-Neutral Pricing","Equity-linked Pension","Brennan-Schwartz"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://uwcscholar.uwc.ac.za/bitstreams/818972f9-b11a-4e9d-b8d0-6ce643075f8c/download"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant."]},{"key":"dc:format.checksum.md5","label":"Dc Format Checksum Md5","values":["9943465818982ccd89fe3c1f0271d7ff","c25c9100202b3fad7f4af1d1af066e5d"]},{"key":"dc:title","label":"Title","values":["Stochastic Volatility Models for Contingent Claim Pricing and Hedging"]}]}],"canonical_facts":{"dc:contributor.advisor":["Witbooi, Peter J."],"dc:creator":["Manzini, Muzi Charles"],"dc:date.issued":["2008"],"dc:description.abstract":["The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant."],"dc:format.checksum.md5":["9943465818982ccd89fe3c1f0271d7ff","c25c9100202b3fad7f4af1d1af066e5d"],"dc:identifier.uri":["https://uwcscholar.uwc.ac.za/bitstreams/818972f9-b11a-4e9d-b8d0-6ce643075f8c/download"],"dc:publisher.institution":["University of the Western Cape"],"dc:relation.isreferencedby":["https://hdl.handle.net/10566/14893"],"dc:subject":["Contingent Claim","Hedging","Brownian Motion","Black-Scholes Implied Volatility","Stochastic Volatility","Call Option Mixture","Risk-Neutral Pricing","Equity-linked Pension","Brennan-Schwartz"],"dc:title":["Stochastic Volatility Models for Contingent Claim Pricing and Hedging"],"dc:type":["Thesis"]},"updated_at":"2026-07-24T06:00:34Z"}