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Browsing Theses and Dissertations (Actuarial Science) by Subject "Illiquid markets"

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Time-varying volatility models and indices : a GARCH option pricing approach

Venter, Pierre Johan (University of Pretoria, 2022)

In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...

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