Two approaches to modelling the volatility skew

Master Thesis

2008

Permanent link to this Item
http://hdl.handle.net/11427/4908
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thesis_sci_2008_masawi_c (1).pdf (4.27 MB)
Authors
Masawi, Chipo
Supervisors
Bosman, Petrus
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University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
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.
Description

Includes bibliographical references (leaves 97-100).

Keywords
Financial Mathematics

Reference:

Masawi, C. 2008. Two approaches to modelling the volatility skew. University of Cape Town.

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Masters