Estimating Long Term Equity Implied Volatility
| dc.contributor.advisor | Mahomed, Obeid | |
| dc.contributor.author | Crawford, Danielle Ana | |
| dc.date.accessioned | 2020-02-27T14:33:33Z | |
| dc.date.available | 2020-02-27T14:33:33Z | |
| dc.date.issued | 2019 | |
| dc.date.updated | 2020-02-27T13:15:06Z | |
| dc.description.abstract | Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid tradable derivatives. In this case, practitioners have to estimate the implied volatility surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techniques considered include statistical and time-series techniques, non-parametric techniques and three potential methods which use the local volatility model. | |
| dc.identifier.apacitation | Crawford, D. A. (2019). <i>Estimating Long Term Equity Implied Volatility</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/31366 | en_ZA |
| dc.identifier.chicagocitation | Crawford, Danielle Ana. <i>"Estimating Long Term Equity Implied Volatility."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/31366 | en_ZA |
| dc.identifier.citation | Crawford, D. 2019. Estimating Long Term Equity Implied Volatility. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Crawford, Danielle Ana AB - Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid tradable derivatives. In this case, practitioners have to estimate the implied volatility surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techniques considered include statistical and time-series techniques, non-parametric techniques and three potential methods which use the local volatility model. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - risk management LK - https://open.uct.ac.za PY - 2019 T1 - Estimating Long Term Equity Implied Volatility TI - Estimating Long Term Equity Implied Volatility UR - http://hdl.handle.net/11427/31366 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/31366 | |
| dc.identifier.vancouvercitation | Crawford DA. Estimating Long Term Equity Implied Volatility. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31366 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | African Institute of Financial Markets and Risk Management | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | risk management | |
| dc.title | Estimating Long Term Equity Implied Volatility | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |