Break-even volatility for caps, floors and swaptions
This dissertation investigates break-even volatility in the context of the South African interest rate market. Introduced by Dupire (2006), break-even volatility is a retrospective measure defined as the volatility that ensures the profit or loss from a delta hedged option position is zero. Break-ev...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | http://hdl.handle.net/11427/31435 |