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Two approaches to modelling the volatility skew
Includes bibliographical references (leaves 97-100).
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613369109839872 |
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| access_status_str | Open Access |
| author | Masawi, Chipo |
| author2 | Bosman, Petrus |
| author_browse | Bosman, Petrus Masawi, Chipo |
| author_facet | Bosman, Petrus Masawi, Chipo |
| author_sort | Masawi, Chipo |
| collection | Thesis |
| description | Includes bibliographical references (leaves 97-100). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4908 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:35:03.097Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4908 Two approaches to modelling the volatility skew Masawi, Chipo Bosman, Petrus Financial Mathematics Includes bibliographical references (leaves 97-100). This study examines two approaches to modelling the volatility skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The first approach involves using historical prices of the underlying index to obtain a model of the skew. Two models that use this approach, namely the Edgeworth and Normal Mixture AGARCH models were implemented. 2014-07-31T08:08:56Z 2014-07-31T08:08:56Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4908 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Masawi, Chipo Two approaches to modelling the volatility skew |
| thesis_degree_str | Master's |
| title | Two approaches to modelling the volatility skew |
| title_full | Two approaches to modelling the volatility skew |
| title_fullStr | Two approaches to modelling the volatility skew |
| title_full_unstemmed | Two approaches to modelling the volatility skew |
| title_short | Two approaches to modelling the volatility skew |
| title_sort | two approaches to modelling the volatility skew |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/4908 |
| work_keys_str_mv | AT masawichipo twoapproachestomodellingthevolatilityskew |