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GARCH option pricing models in a South African equity context
Venter, Pierre Johan
;
Mare, Eben
(
Operations Research Society of South Africa
,
2020
)
Pricing variable annuity guarantees in South Africa under a Variance-Gamma model
Ngugi, A.M. (Alvin Macharia)
;
Mare, Eben
;
Kufakunesu, Rodwell
(
Actuarial Society of South Africa
,
2015
)
Fractional Black–Scholes option pricing, volatility calibration and implied Hurst exponents in South African context
Flint, Emlyn James
;
Mare, Eben
(
University of Pretoria, Department of Economics
,
2017-03-29
)
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Author
Mare, Eben (3)
Flint, Emlyn James (1)
Kufakunesu, Rodwell (1)
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Generalised autoregressive conditional heteroskedasticity (GARCH) (1)
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