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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
It is known that accurate and efficient calibration of any fractional stochastic volatility model is important for trading and risk management purposes. Under the rough Heston model proposed by El Euch et al. (2019), the Hurst parameter governs the roughness of the volatility process. This dissertat...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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