Markov-Switching models and resultant equity implied volatility surfaces: a South African application
Includes bibliographical references. === Standard Geometric Brownian Motion is the stock model underlying Black-Scholes famous option pricing formula. There are however numerous problems with this stock model as certain features do not follow some empirical stylised facts we see from the observation...
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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/11427/10450 |