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.

Bibliographic Details
Main Author:	Munhumwe, Blessing
Other Authors:	Becker, Ronald
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Financial Mathematics
Online Access:	http://hdl.handle.net/11427/13042

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-130422020-10-06T05:10:59Z The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market Munhumwe, Blessing Becker, Ronald Financial Mathematics 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. 2015-06-01T14:09:47Z 2015-06-01T14:09:47Z 2011 Master Thesis Masters MPhil http://hdl.handle.net/11427/13042 eng application/pdf University of Cape Town Faculty of Commerce School of Economics
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Financial Mathematics
spellingShingle	Financial Mathematics Munhumwe, Blessing The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
description	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.
author2	Becker, Ronald
author_facet	Becker, Ronald Munhumwe, Blessing
author	Munhumwe, Blessing
author_sort	Munhumwe, Blessing
title	The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
title_short	The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
title_full	The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
title_fullStr	The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
title_full_unstemmed	The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
title_sort	bates model : fourier transform for option pricing under jump-diffusions in the south african market
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/13042
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The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market

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