Stochastic Volatility Models for Contingent Claim Pricing and Hedging

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dc.contributor.advisorWitbooi, Peter J.
dc.contributor.authorManzini, Muzi Charles
dc.contributor.otherFaculty of Science
dc.date.accessioned2014-02-06T10:47:41Z
dc.date.accessioned2024-05-14T09:53:12Z
dc.date.available2010/04/06 03:24
dc.date.available2010/04/06
dc.date.available2014-02-06T10:47:41Z
dc.date.available2024-05-14T09:53:12Z
dc.date.issued2008
dc.descriptionMagister Scientiae - MScen_US
dc.description.abstractThe 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.en_US
dc.description.countrySouth Africa
dc.identifier.urihttps://hdl.handle.net/10566/14893
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.rights.holderUniversity of the Western Capeen_US
dc.subjectContingent Claimen_US
dc.subjectHedgingen_US
dc.subjectBrownian Motionen_US
dc.subjectBlack-Scholes Implied Volatilityen_US
dc.subjectStochastic Volatilityen_US
dc.subjectCall Option Mixtureen_US
dc.subjectRisk-Neutral Pricingen_US
dc.subjectEquity-linked Pensionen_US
dc.subjectBrennan-Schwartzen_US
dc.titleStochastic Volatility Models for Contingent Claim Pricing and Hedgingen_US
dc.typeThesisen_US

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