Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options-Reference-Cited by-同舟云学术

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

Published:2015-01-26 Issue:1 Volume:8 Page:43-82
ISSN:1911-8074
Container-title:Journal of Risk and Financial Management
language:en
Short-container-title:JRFM

Author:

Kotzé Antonie,Oosthuizen Rudolf,Pindza Edson

Publisher

MDPI AG

Link

http://www.mdpi.com/1911-8074/8/1/43/pdf

Reference51 articles.

1. The holes in Black-Scholes;Black;Risk,1988

2. Options, Futures, and other Derivatives;Hull,2012

3. Black-Scholes or black holes?;Kotzé;South Afr. Financ. Mark. J.,2003

4. Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading;Bouzoubaa,2010

5. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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