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Collateralised option pricing in a South African context : a univariate GARCH approach
Venter, Pierre J.
;
Levendis, Alexis Jacques
;
Mare, Eben
(
Taylor and Francis
,
2022
)
Efficient pricing of spread options with stochastic rates and stochastic volatility
Levendis, Alexis Jacques
;
Mare, Eben
(
MDPI
,
2022-11
)
Determining safe retirement withdrawal rates using forward-looking distributions
Van Appel, Vaughan
;
Mare, Eben
(
Academy of Science of South Africa
,
2022-03
)
An economic scenario generator for embedded derivatives in South Africa
Levendis, Alexis
;
Mare, Eben
(
Actuarial Society of South Africa
,
2022
)
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Author
Mare, Eben (4)
Levendis, Alexis Jacques (2)
Levendis, Alexis (1)
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Venter, Pierre J. (1)
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Stochastic interest rates (2)
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Discounted characteristic function (1)
Exotic options (1)
Fast Fourier transform (FFT) (1)
Forward-looking distributions (1)
Generalised autoregressive heteroskedasticity (GARCH) (1)
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Guaranteed minimum death benefit (GMDB) (1)
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