MC Calibration to SA Equity Market
Document ID: 2006-266 (previously 2006/021)
Published on: 1st December 2006
Author: Colin Holmes, David Roseburgh
This document outlines our approach to calibrating the Deterministic volatility equity model to the South African market for market-consistent purposes. In this market, liquid options are restricted to short maturities (less than 3 years or so) and so we require a clear method settiong long-term volatility.
