Pricing 2-colour rainbows : nonparametric methods using copulae
Includes bibliographical references. === This paper investigates the use of copulae for non parametric pricing of multivariate contingent claims. Price estimates and no-arbitrage bounds for various types of two-colour rainbow options on the South African equity and bond markets were calculated. Impl...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/11778 |