Venter, Pierre Johan; Mare, Eben; Pindza, Edson(Cogent OA, 2020)
In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the
Cryptocurrency Index (CRIX). The first model is symmetric and the other ...
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 ...
