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Application of Volatility Targeting Strategies within a Black-Scholes Framework
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...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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| _version_ | 1867614396575907840 |
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| access_status_str | Open Access |
| author | Vakaloudis, Dmitri |
| author2 | Mahomed, Obeid |
| author_browse | Mahomed, Obeid Vakaloudis, Dmitri |
| author_facet | Mahomed, Obeid Vakaloudis, Dmitri |
| author_sort | Vakaloudis, Dmitri |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/31319 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:51:22.965Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/31319 Application of Volatility Targeting Strategies within a Black-Scholes Framework Vakaloudis, Dmitri Mahomed, Obeid Mathematical Finance 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. 2020-02-25T11:38:35Z 2020-02-25T11:38:35Z 2019 2020-02-25T08:18:15Z Master Thesis Masters MPhil http://hdl.handle.net/11427/31319 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | Mathematical Finance Vakaloudis, Dmitri Application of Volatility Targeting Strategies within a Black-Scholes Framework |
| thesis_degree_str | Master's |
| title | Application of Volatility Targeting Strategies within a Black-Scholes Framework |
| title_full | Application of Volatility Targeting Strategies within a Black-Scholes Framework |
| title_fullStr | Application of Volatility Targeting Strategies within a Black-Scholes Framework |
| title_full_unstemmed | Application of Volatility Targeting Strategies within a Black-Scholes Framework |
| title_short | Application of Volatility Targeting Strategies within a Black-Scholes Framework |
| title_sort | application of volatility targeting strategies within a black scholes framework |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/31319 |
| work_keys_str_mv | AT vakaloudisdmitri applicationofvolatilitytargetingstrategieswithinablackscholesframework |