-term vanilla call option can be used for efficient hedging. Using a mean-variance hedging approach, we calculate optimal hedge …Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that … would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

This paper develops a test that helps assess whether the term structure of option implied volatility is constant across … "volatility smile" and an additive quadratic time effect is a statistically adequate depiction of the implied volatility data for … most years. The constancy of implied volatility term structure, in turn, implies that option traders shall feel confident …