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Department of Mathematics and Applied Mathematics
Two approaches to modelling the volatility skew
Abstract
dc:description.abstractThis 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 model of the skew. Two models that use this approach, namely the Edgeworth and Normal Mixture AGARCH models were implemented.
Degree
thesis:*- Grantor dc:publisher.institution
- Department of Mathematics and Applied Mathematics
- Year dc:date.issued
- 2008
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Masawi, Chipo
- Advisor dc:contributor.advisor
-
- Bosman, Petrus
Rights
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/4908
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/4908