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Path-dependent volatility: an application to the South African market
Industry and academia have thus far focussed on three classes of volatility models, namely, constant volatility, local volatility and stochastic volatility. Pathdependent volatility models are a lesser known class of models which possess the key characteristic of completeness together with the abili...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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| _version_ | 1867613261719928832 |
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| access_status_str | Open Access |
| author | Sookdeo, Shivan |
| author2 | De Kock, Johan |
| author_browse | De Kock, Johan Sookdeo, Shivan |
| author_facet | De Kock, Johan Sookdeo, Shivan |
| author_sort | Sookdeo, Shivan |
| collection | Thesis |
| description | Industry and academia have thus far focussed on three classes of volatility models, namely, constant volatility, local volatility and stochastic volatility. Pathdependent volatility models are a lesser known class of models which possess the key characteristic of completeness together with the ability to generate a wide range of volatility dynamics with respect to the underlying asset (Guyon, 2014). This dissertation highlights the usefulness and practicality of these models for application in the South African market, while drawing comparisons with other widely used models. The tests cover both pricing and hedging of vanilla European options on the FTSE JSE Top 40. The Black-Scholes, Heston and CEV models are used as comparative benchmarks for each of the other classes of models. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/27100 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:19.547Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/27100 Path-dependent volatility: an application to the South African market Sookdeo, Shivan De Kock, Johan Mathematical Finance Industry and academia have thus far focussed on three classes of volatility models, namely, constant volatility, local volatility and stochastic volatility. Pathdependent volatility models are a lesser known class of models which possess the key characteristic of completeness together with the ability to generate a wide range of volatility dynamics with respect to the underlying asset (Guyon, 2014). This dissertation highlights the usefulness and practicality of these models for application in the South African market, while drawing comparisons with other widely used models. The tests cover both pricing and hedging of vanilla European options on the FTSE JSE Top 40. The Black-Scholes, Heston and CEV models are used as comparative benchmarks for each of the other classes of models. 2018-01-30T10:26:21Z 2018-01-30T10:26:21Z 2017 Master Thesis Masters MPhil http://hdl.handle.net/11427/27100 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Sookdeo, Shivan Path-dependent volatility: an application to the South African market |
| thesis_degree_str | Master's |
| title | Path-dependent volatility: an application to the South African market |
| title_full | Path-dependent volatility: an application to the South African market |
| title_fullStr | Path-dependent volatility: an application to the South African market |
| title_full_unstemmed | Path-dependent volatility: an application to the South African market |
| title_short | Path-dependent volatility: an application to the South African market |
| title_sort | path dependent volatility an application to the south african market |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/27100 |
| work_keys_str_mv | AT sookdeoshivan pathdependentvolatilityanapplicationtothesouthafricanmarket |