Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Break-even volatility for caps, floors and swaptions
This dissertation investigates break-even volatility in the context of the South African interest rate market. Introduced by Dupire (2006), break-even volatility is a retrospective measure defined as the volatility that ensures the profit or loss from a delta hedged option position is zero. Break-ev...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2020
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!