exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time … divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently …

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option … contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the … estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the …