ITEM VIEW

Aspects of some exotic options

dc.contributor.advisorConradie, W. J.
dc.contributor.authorTheron, Nadiaen_ZA
dc.contributor.otherUniversity of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
dc.date.accessioned2008-08-04T08:30:26Zen_ZA
dc.date.accessioned2010-07-09T11:08:32Z
dc.date.available2008-08-04T08:30:26Zen_ZA
dc.date.available2010-07-09T11:08:32Z
dc.date.issued2007-12en_ZA
dc.identifier.urihttp://hdl.handle.net/10019.1/3359
dc.descriptionThesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2007.
dc.description.abstractThe use of options on various stock markets over the world has introduced a unique opportunity for investors to hedge, speculate, create synthetic financial instruments and reduce funding and other costs in their trading strategies. The power of options lies in their versatility. They enable an investor to adapt or adjust her position according to any situation that arises. Another benefit of using options is that they provide leverage. Since options cost less than stock, they provide a high-leverage approach to trading that can significantly limit the overall risk of a trade, or provide additional income. This versatility and leverage, however, come at a price. Options are complex securities and can be extremely risky. In this document several aspects of trading and valuing some exotic options are investigated. The aim is to give insight into their uses and the risks involved in their trading. Two volatility-dependent derivatives, namely compound and chooser options; two path-dependent derivatives, namely barrier and Asian options; and lastly binary options, are discussed in detail. The purpose of this study is to provide a reference that contains both the mathematical derivations and detail in valuating these exotic options, as well as an overview of their applicability and use for students and other interested parties.en_ZA
dc.language.isoenen_ZA
dc.publisherStellenbosch : University of Stellenbosch
dc.subjectExotic options (Finance)en_ZA
dc.subjectVolatility-dependent optionsen_ZA
dc.subjectPath-dependent optionsen_ZA
dc.subjectBinary optionsen_ZA
dc.subjectDerivative securitiesen
dc.subjectDissertations -- Statistics and actuarial scienceen
dc.subjectTheses -- Statistics and actuarial scienceen
dc.titleAspects of some exotic optionsen_ZA
dc.typeThesisen_ZA
dc.rights.holderUniversity of Stellenbosch


Files in this item

Thumbnail

This item appears in the following Collection(s)

ITEM VIEW