Implied and local volatility surfaces for South African index and foreign exchange options
Year of publication: |
2015
|
---|---|
Authors: | Kotzé, Antonie ; Oosthuizen, Rudolf ; Pindza, Edson |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 8.2015, 1, p. 43-82
|
Publisher: |
Basel : MDPI |
Subject: | exotic options | JSE | Can-Do options | implied volatility | local volatility | dupire transforms | gyöngy theorem | calibration | deterministic volatility function |
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