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 |
Page generated in 0.001 seconds