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Browsing Actuarial Science by Subject "Option pricing"
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(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) ...
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(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 ...
Now showing items 1-2 of 2