dc.contributor.advisor | Mhlanga, Farai J. | |
dc.contributor.author | Nkosi, Siboniso Confrence | |
dc.date.accessioned | 2017-11-08T13:06:38Z | |
dc.date.available | 2017-11-08T13:06:38Z | |
dc.date.issued | 2016 | |
dc.identifier.uri | http://hdl.handle.net/11394/5666 | |
dc.description | >Magister Scientiae - MSc | en_US |
dc.description.abstract | This paper focuses on the newly revived interest to model free approach in finance. Instead of postulating some probability measure it emerges in a form of an outer-measure. We review the behavior of a market stock price and the stochastic assumptions imposed to the stock price when deriving the Black-Scholes formula in the classical case. Without any stochastic assumptions we derive the Black-Scholes formula using a model free approach. We do this by means of protocols that describe the market/game. We prove a statement that prices a European option in continuous time. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of the Western Cape | en_US |
dc.subject | Model free | en_US |
dc.subject | Price path | en_US |
dc.subject | European options | en_US |
dc.subject | Continuous time | en_US |
dc.title | Pricing European options : a model-free approach | en_US |
dc.rights.holder | University of the Western Cape | en_US |