Philosophiae Doctor - PhD / Conventional partial differential equations under the classical Black-Scholes approach
have been extensively explored over the past few decades in solving option
pricing problems. However, the underlying Efficient Market Hypothesis (EMH) of
classical economic theory neglects the effects of memory in asset return series, though
memory has long been observed in a number financial data. With advancements in
computational methodologies, it has now become possible to model different real life
physical phenomenons using complex approaches such as, fractional differential equations
(FDEs). Fractional models are generalised models which based on literature have
been found appropriate for explaining memory effects observed in a number of financial
markets including the stock market. The use of fractional model has thus recently
taken over the context of academic literatures and debates on financial modelling. / 2023-12-02
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uwc/oai:etd.uwc.ac.za:11394/7612 |
| Date | January 2020 |
| Creators | Nuugulu, Samuel Megameno |
| Contributors | Patidar, Kailash C., Gideon, Frednard |
| Publisher | University of the Western Cape |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Rights | University of the Western Cape |
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