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Estimating Long Term Equity Implied Volatility
Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid...
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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_ | 1867613225420324864 |
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| access_status_str | Open Access |
| author | Crawford, Danielle Ana |
| author2 | Mahomed, Obeid |
| author_browse | Crawford, Danielle Ana Mahomed, Obeid |
| author_facet | Mahomed, Obeid Crawford, Danielle Ana |
| author_sort | Crawford, Danielle Ana |
| collection | Thesis |
| description | Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid tradable derivatives. In this case, practitioners have to estimate the implied volatility surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techniques considered include statistical and time-series techniques, non-parametric techniques and three potential methods which use the local volatility model. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/31366 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:45.765Z |
| 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:11427/31366 Estimating Long Term Equity Implied Volatility Crawford, Danielle Ana Mahomed, Obeid risk management Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid tradable derivatives. In this case, practitioners have to estimate the implied volatility surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techniques considered include statistical and time-series techniques, non-parametric techniques and three potential methods which use the local volatility model. 2020-02-27T14:33:33Z 2020-02-27T14:33:33Z 2019 2020-02-27T13:15:06Z Master Thesis Masters MPhil http://hdl.handle.net/11427/31366 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce |
| spellingShingle | risk management Crawford, Danielle Ana Estimating Long Term Equity Implied Volatility |
| thesis_degree_str | Master's |
| title | Estimating Long Term Equity Implied Volatility |
| title_full | Estimating Long Term Equity Implied Volatility |
| title_fullStr | Estimating Long Term Equity Implied Volatility |
| title_full_unstemmed | Estimating Long Term Equity Implied Volatility |
| title_short | Estimating Long Term Equity Implied Volatility |
| title_sort | estimating long term equity implied volatility |
| topic | risk management |
| url | http://hdl.handle.net/11427/31366 |
| work_keys_str_mv | AT crawforddanielleana estimatinglongtermequityimpliedvolatility |