Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 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 … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in …