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Browsing Research Articles (Actuarial Science) by Author "Pindza, Edson"

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Price discovery in the cryptocurrency option market : a univariate GARCH approach

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 ...

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