Venter, Pierre J.; Levendis, Alexis Jacques; Mare, Eben(Taylor and Francis, 2022)
In this paper, the generalised autoregressive heteroskedasticity (GARCH)
model is applied to the pricing of collateralised options in the South African equity
market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) ...
Levendis, Alexis Jacques; Mare, Eben(MDPI, 2022-11)
Spread options are notoriously difficult to price without the use of Monte Carlo simulation.
Some strides have been made in recent years through the application of Fourier transform methods;
however, to date, these methods ...
