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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 ...
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 ...