An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market
Includes bibliographical references. === The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of th...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/5771 |