Similar Items: Path-dependent volatility: an application to the South African market
- Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
- Pricing path dependent options under variance gamma dynamics
- Level Dependence in Volatility in Linear-Rational Term Structure Models
- Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility
- Spread, inventory and spot price volatility in the platinum market
- Markov-Switching models and resultant equity implied volatility surfaces: a South African application