dc.contributor.author | Ikamari, Cynthia A | |
dc.date.accessioned | 2021-12-21T08:44:59Z | |
dc.date.available | 2021-12-21T08:44:59Z | |
dc.date.issued | 2021 | |
dc.identifier.uri | http://erepository.uonbi.ac.ke/handle/11295/155937 | |
dc.description.abstract | . In asset pricing, explicit models are being constructed for the flow of market information.
Financial markets are making use of such models as a basis for asset pricing. With increased
globalization of financial markets, investors and traders are becoming more interested in
multi-asset products. Options that consist of a portfolio of assets are of interest to investors
because they provide diversification across a number of market segments and assets. They
are also cheaper in comparison to a portfolio that consists of similar single asset options.
With these developments, financial markets are faced with the challenge of determining
suitable prices for these multi-asset options.
This study looks at the valuation of such options incorporating information using a stochastic
volatility model. An approximate price for multi-asset options is derived using the
notion of comonotonicity and Wishart processes under the information-based asset pricing
framework. The results show that the information flow rate parameter plays a significant
role in the prices obtained in the model based on Brody, Hughson and Macrina’s asset
pricing framework. The prices obtained using the model give a relatively close fit to the
prices observed in the market. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of Nairobi | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.title | Information-based Asset Pricing Of Options Using Stochastic Volatility Models | en_US |
dc.type | Thesis | en_US |