Two approaches to modelling the volatility skew

Two approaches to modelling the volatility skew

Includes bibliographical references (leaves 97-100). === This study examines two approaches to modelling the volatility skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The first approach involves using historical prices of the underlying index to obtain a mod...

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Bibliographic Details
Main Author: Masawi, Chipo
Other Authors: Bosman, Petrus
Format: Dissertation
Language:English
Published: University of Cape Town 2014
Subjects:
Financial Mathematics
Online Access:http://hdl.handle.net/11427/4908

Internet

http://hdl.handle.net/11427/4908

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