Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options

Abstract

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are proposed in order to overcome the shortcomings of the Black-Scholes… (More)

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Cite this paper

@inproceedings{Kotz2015ImpliedAL, title={Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options}, author={Antonie Kotz{\'e} and Rudolf Oosthuizen and Edson Pindza and Michael McAleer}, year={2015} }