Application of Volatility Targeting Strategies within a Black-Scholes Framework
| dc.contributor.advisor | Mahomed, Obeid | |
| dc.contributor.author | Vakaloudis, Dmitri | |
| dc.date.accessioned | 2020-02-25T11:38:35Z | |
| dc.date.available | 2020-02-25T11:38:35Z | |
| dc.date.issued | 2019 | |
| dc.date.updated | 2020-02-25T08:18:15Z | |
| dc.description.abstract | The traditional Black-Scholes (BS) model relies heavily on the assumption that underlying returns are normally distributed. In reality however there is a large amount of evidence to suggest that this assumption is weak and that actual return distributions are non-Gaussian. This dissertation looks at algorithmically generating a Volatility Targeting Strategy (VTS) which can be used as an underlying asset. The rationale here is that since the VTS has a constant prespecified level of volatility, its returns should be normally distributed, thus tending closer to an underlying that adheres to the assumptions of BS. | |
| dc.identifier.apacitation | Vakaloudis, D. (2019). <i>Application of Volatility Targeting Strategies within a Black-Scholes Framework</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/31319 | en_ZA |
| dc.identifier.chicagocitation | Vakaloudis, Dmitri. <i>"Application of Volatility Targeting Strategies within a Black-Scholes Framework."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/31319 | en_ZA |
| dc.identifier.citation | Vakaloudis, D. 2019. Application of Volatility Targeting Strategies within a Black-Scholes Framework. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Vakaloudis, Dmitri AB - The traditional Black-Scholes (BS) model relies heavily on the assumption that underlying returns are normally distributed. In reality however there is a large amount of evidence to suggest that this assumption is weak and that actual return distributions are non-Gaussian. This dissertation looks at algorithmically generating a Volatility Targeting Strategy (VTS) which can be used as an underlying asset. The rationale here is that since the VTS has a constant prespecified level of volatility, its returns should be normally distributed, thus tending closer to an underlying that adheres to the assumptions of BS. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2019 T1 - Application of Volatility Targeting Strategies within a Black-Scholes Framework TI - Application of Volatility Targeting Strategies within a Black-Scholes Framework UR - http://hdl.handle.net/11427/31319 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/31319 | |
| dc.identifier.vancouvercitation | Vakaloudis D. Application of Volatility Targeting Strategies within a Black-Scholes Framework. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31319 | 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 | Mathematical Finance | |
| dc.title | Application of Volatility Targeting Strategies within a Black-Scholes Framework | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |