Includes bibliographical references (leaves [51] - 55). / The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/13042 |
| Date | January 2011 |
| Creators | Munhumwe, Blessing |
| Contributors | Becker, Ronald |
| Publisher | University of Cape Town, Faculty of Commerce, School of Economics |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MPhil |
| Format | application/pdf |
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