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Browsing Actuarial Science by Subject "Hedging"
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(Actuarial Society of South Africa, 2022)It is well known that interest rate risk is a dominating factor when pricing long-dated contingent claims. The Heston stochastic volatility model fails to capture this risk as the model assumes a constant interest rate ...
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(University of Pretoria, 2022)In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...
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