Kotzé, Antonie; Labuschagne, Coenraad C.A.; Nair, Merell L. - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 380-399
The current method employed by the Johannesburg Stock Exchange11www.jse.co.za. (JSE) to determine implied volatility is based on trade data and a linear deterministic approach. The aim of this paper is to construct a market-related arbitrage-free implied volatility surface, by using a quadratic...