Edru Ochse

Peregrine Securities

21 Main Road

Claremont

Cape Town, Western Cape 7700

South Africa

SCHOLARLY PAPERS

1

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43

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0

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Scholarly Papers (1)

1.

Estimating Long-Term Volatility Parameters for Market-Consistent Models

South African Actuarial Journal, Vol. 14, 2014
Number of pages: 54 Posted: 17 Jan 2017
Legae Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 43 (432,296)

Abstract:

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econometric volatility models, deterministic volatility models, stochastic volatility models, long-term implied volatility, risk-netrual historical volatility, break-even volatility