Modelling illiquid volatility skews
Includes bibliographical references. === Most markets trade liquidly in options on the market index, in fact they often trade at a wide range of strike levels. Thus, using the Black-Scholes model, we can obtain the implied volatilities at the various strike levels, forming the associated implied vol...
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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/11427/8529 |