Two approaches to modelling the volatility skew

dc.contributor.advisorBosman, Petrusen_ZA
dc.contributor.authorMasawi, Chipoen_ZA
dc.date.accessioned2014-07-31T08:08:56Z
dc.date.available2014-07-31T08:08:56Z
dc.date.issued2008en_ZA
dc.descriptionIncludes bibliographical references (leaves 97-100).
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationMasawi, C. (2008). <i>Two approaches to modelling the volatility skew</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4908en_ZA
dc.identifier.chicagocitationMasawi, Chipo. <i>"Two approaches to modelling the volatility skew."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008. http://hdl.handle.net/11427/4908en_ZA
dc.identifier.citationMasawi, C. 2008. Two approaches to modelling the volatility skew. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Masawi, Chipo AB - 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. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Two approaches to modelling the volatility skew TI - Two approaches to modelling the volatility skew UR - http://hdl.handle.net/11427/4908 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4908
dc.identifier.vancouvercitationMasawi C. Two approaches to modelling the volatility skew. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4908en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleTwo approaches to modelling the volatility skewen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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