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An Application of Deep Hedging in Pricing and Hedging Caplets on the Prime Lending Rate
Derivatives in South Africa are traded via an exchange, such as the JSE's derivatives markets, or over-the-counter (OTC). This dissertation focuses on the pricing and hedging of caplets written on the South African prime lending rate. In a complete market, caplets can be continuously hedged with zer...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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