Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Markov-Switching models and resultant equity implied volatility surfaces: a South African application
Includes bibliographical references.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Similar Items: Markov-Switching models and resultant equity implied volatility surfaces: a South African application
- Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
- Extracting risk aversion estimates from option prices/implied volatility
- Modelling Equities with a Stochastic Volatility Jump Diffusion
- A comprehensive view of Markov-Functional models and their application
- Constructing volatility surfaces for managed funds
- Testing of an Arbitrage-free Volatility Surface