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Volatility derivatives in the Heston framework
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
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| _version_ | 1867613253706711040 |
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| access_status_str | Open Access |
| author | Kriel, Hiltje |
| author2 | Ouwehand, Peter |
| author_browse | Kriel, Hiltje Ouwehand, Peter |
| author_facet | Ouwehand, Peter Kriel, Hiltje |
| author_sort | Kriel, Hiltje |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8524 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:12.104Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8524 Volatility derivatives in the Heston framework Kriel, Hiltje Ouwehand, Peter Mathematical Finance Includes bibliographical references. A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework. 2014-10-17T10:09:53Z 2014-10-17T10:09:53Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8524 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Kriel, Hiltje Volatility derivatives in the Heston framework |
| thesis_degree_str | Master's |
| title | Volatility derivatives in the Heston framework |
| title_full | Volatility derivatives in the Heston framework |
| title_fullStr | Volatility derivatives in the Heston framework |
| title_full_unstemmed | Volatility derivatives in the Heston framework |
| title_short | Volatility derivatives in the Heston framework |
| title_sort | volatility derivatives in the heston framework |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/8524 |
| work_keys_str_mv | AT krielhiltje volatilityderivativesinthehestonframework |