Two approaches to modelling the volatility skew
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University of Cape Town
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 model of the skew. Two models that use this approach, namely the Edgeworth and Normal Mixture AGARCH models were implemented.
Includes bibliographical references (leaves 97-100).
Masawi, C. 2008. Two approaches to modelling the volatility skew. University of Cape Town.