The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
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.
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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/11427/13042 |