Aspects of some exotic options

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dc.contributor.advisor Conradie, W. J. Theron, Nadia en_ZA
dc.contributor.other University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. 2008-08-04T08:30:26Z en_ZA 2010-07-09T11:08:32Z 2008-08-04T08:30:26Z en_ZA 2010-07-09T11:08:32Z 2007-12 en_ZA
dc.description Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2007.
dc.description.abstract The 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.iso en en_ZA
dc.publisher Stellenbosch : University of Stellenbosch
dc.subject Exotic options (Finance) en_ZA
dc.subject Volatility-dependent options en_ZA
dc.subject Path-dependent options en_ZA
dc.subject Binary options en_ZA
dc.subject Derivative securities en
dc.subject Dissertations -- Statistics and actuarial science en
dc.subject Theses -- Statistics and actuarial science en
dc.title Aspects of some exotic options en_ZA
dc.type Thesis en_ZA
dc.rights.holder University of Stellenbosch
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