Path-dependent volatility: an application to the South African market
Industry and academia have thus far focussed on three classes of volatility models, namely, constant volatility, local volatility and stochastic volatility. Pathdependent volatility models are a lesser known class of models which possess the key characteristic of completeness together with the abili...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2018
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| Online Access: | http://hdl.handle.net/11427/27100 |