Path-dependent volatility: an application to the South African market

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dc.contributor.advisorDe Kock, Johanen_ZA
dc.contributor.authorSookdeo, Shivanen_ZA
dc.date.accessioned2018-01-30T10:26:21Z
dc.date.available2018-01-30T10:26:21Z
dc.date.issued2017en_ZA
dc.description.abstractIndustry 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. The tests cover both pricing and hedging of vanilla European options on the FTSE JSE Top 40. The Black-Scholes, Heston and CEV models are used as comparative benchmarks for each of the other classes of models.en_ZA
dc.identifier.apacitationSookdeo, S. (2017). <i>Path-dependent volatility: an application to the South African market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/27100en_ZA
dc.identifier.chicagocitationSookdeo, Shivan. <i>"Path-dependent volatility: an application to the South African market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/27100en_ZA
dc.identifier.citationSookdeo, S. 2017. Path-dependent volatility: an application to the South African market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Sookdeo, Shivan AB - 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. The tests cover both pricing and hedging of vanilla European options on the FTSE JSE Top 40. The Black-Scholes, Heston and CEV models are used as comparative benchmarks for each of the other classes of models. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Path-dependent volatility: an application to the South African market TI - Path-dependent volatility: an application to the South African market UR - http://hdl.handle.net/11427/27100 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27100
dc.identifier.vancouvercitationSookdeo S. Path-dependent volatility: an application to the South African market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27100en_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.titlePath-dependent volatility: an application to the South African marketen_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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