{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/27100"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/27100","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Path-dependent volatility: an application to the South African market","abstract":"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 ability to generate a wide range of volatility dynamics with respect to the underlying asset (Guyon, 2014). This dissertation highlights the usefulness and practicality of these models for application in the South African market, while drawing comparisons with other widely used models. 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The Black-Scholes, Heston and CEV models are used as comparative benchmarks for each of the other classes of models.","abstract_has_math":false,"creators":["Sookdeo, Shivan"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["De Kock, Johan"],"committee_chairs":[],"committee_members":[],"year":2017,"date_issued":"2017","date_published":"2017","updated_at":"2026-07-22T22:23:10Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/27100","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["De Kock, Johan"]},{"key":"dc:creator","label":"Author","values":["Sookdeo, Shivan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2018-01-30T10:26:21Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2018-01-30T10:26:21Z"]},{"key":"dc:date.issued","label":"Date","values":["2017"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/27100"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["Industry and academia have thus far focussed on three classes of volatility models, namely, constant volatility, local volatility and stochastic volatility. 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