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Showing 10 out of a total of 11 results for collection: Research Articles (Actuarial Science).
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Price discovery in the cryptocurrency option market : a univariate GARCH approach
Venter, Pierre Johan
;
Mare, Eben
;
Pindza, Edson
(
Cogent OA
,
2020
)
Collateralised option pricing in a South African context : a univariate GARCH approach
Venter, Pierre J.
;
Levendis, Alexis Jacques
;
Mare, Eben
(
Taylor and Francis
,
2022
)
The Ross recovery theorem with a regularised multivariate Markov chain
Van Appel, Vaughan
;
Mare, Eben
(
Operations Research Society of South Africa
,
2018-11-04
)
Why has the equal weight portfolio underperformed and what can we do about it?
Taljaard, Byran Hugo
;
Mare, Eben
(
Routledge
,
2021
)
An economic scenario generator for embedded derivatives in South Africa
Levendis, Alexis
;
Mare, Eben
(
Actuarial Society of South Africa
,
2022
)
Pricing two-asset rainbow options with the fast Fourier transform
Levendis, Alexis
;
Mare, Eben
(
South African Statistical Association (SASA)
,
2023
)
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
)
The recovery theorem with application to risk management
Van Appel, Vaughan
;
Mare, Eben
(
South African Statistical Association
,
2020
)
Estimating option-implied distributions in illiquid markets and implementing the Ross recovery theorem
Flint, Emlyn James
;
Mare, Eben
(
Actuarial Society of South Africa
,
2017
)
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Author
Mare, Eben (11)
Van Appel, Vaughan (3)
Levendis, Alexis (2)
Levendis, Alexis Jacques (2)
Taljaard, Byran Hugo (2)
Flint, Emlyn James (1)
Pindza, Edson (1)
Venter, Pierre J. (1)
Venter, Pierre Johan (1)
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Diversification (2)
Equal weight portfolio (2)
Equities (2)
Fast Fourier transform (FFT) (2)
Option pricing (2)
Ross recovery theorem (2)
Stochastic interest rates (2)
Stochastic portfolio theory (2)
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