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Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie
;
Oosthuizen, Rudolf
;
Pindza, Edson
- In:
Journal of Risk and Financial Management
8
(
2015
)
1
,
pp. 43-82
that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its
Can-Do
platform. Most …
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