Volatility derivatives in the Heston framework

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dc.contributor.advisorOuwehand, Peteren_ZA
dc.contributor.authorKriel, Hiltjeen_ZA
dc.date.accessioned2014-10-17T10:09:53Z
dc.date.available2014-10-17T10:09:53Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractA volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework.en_ZA
dc.identifier.apacitationKriel, H. (2014). <i>Volatility derivatives in the Heston framework</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8524en_ZA
dc.identifier.chicagocitationKriel, Hiltje. <i>"Volatility derivatives in the Heston framework."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8524en_ZA
dc.identifier.citationKriel, H. 2014. Volatility derivatives in the Heston framework. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Kriel, Hiltje AB - A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Volatility derivatives in the Heston framework TI - Volatility derivatives in the Heston framework UR - http://hdl.handle.net/11427/8524 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8524
dc.identifier.vancouvercitationKriel H. Volatility derivatives in the Heston framework. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8524en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleVolatility derivatives in the Heston frameworken_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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