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Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation
(Operations Research Society of South Africa, 2012)
Extra premiums can be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced on a regular basis back to fixed proportions. The valuation of this premium can be changed to that ...
A realised volatility measurement using quadratic variation and dealing with microstructure effects
(Operations Research Society of South Africa, 2006)
ENGLISH SUMMARY : A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First ...