On the interchangeability of barrier option pricing models

Visagie, I.J.H. (Jaco)

dc.contributor.author	Visagie, I.J.H. (Jaco)
dc.date.accessioned	2019-02-08T04:46:46Z
dc.date.available	2019-02-08T04:46:46Z
dc.date.issued	2018
dc.description	This research was done as part of the author’s doctoral studies under the supervision of Prof. F. Lombard.	en_ZA
dc.description.abstract	An important question when modelling option prices is which of the multitude of option pricing models to use. In this paper, the calculation of barrier option prices is considered. These exotic options are found in many financial markets the world over. It is demonstrated numerically that it is possible to replicate (with a high degree of accuracy) the barrier option prices obtained from one model by making use of a different model; these models are referred to as ‘interchangeable’. Tests for the interchangeability of barrier option pricing models are developed and applied. However, the tests developed are not specific to barrier option pricing models and can also be applied to the prices of other exotic options.	en_ZA
dc.description.department	Statistics	en_ZA
dc.description.librarian	am2019	en_ZA
dc.description.sponsorship	The DST-NRF Centre of Excellence in Mathematical and Statistical Sciences (CoE-MaSS).	en_ZA
dc.description.uri	http://www.journals.co.za/content/journal/sasj	en_ZA
dc.description.uri	https://sastat.org.za/journal	en_ZA
dc.identifier.citation	Visagie, J. 2018, 'On the interchangeability of barrier option pricing models', South African Statistical Journal, vol. 52, no. 2, pp. 157-171.	en_ZA
dc.identifier.issn	0038-271X (print)
dc.identifier.uri	http://hdl.handle.net/2263/68425
dc.language.iso	en	en_ZA
dc.publisher	South African Statistical Association	en_ZA
dc.rights	South African Statistical Association	en_ZA
dc.subject	Barrier options	en_ZA
dc.subject	Interchangeable models	en_ZA
dc.subject	Option pricing	en_ZA
dc.title	On the interchangeability of barrier option pricing models	en_ZA
dc.type	Article	en_ZA