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Browsing Research Articles (Actuarial Science) by Author "Venter, Pierre J."

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Collateralised option pricing in a South African context : a univariate GARCH approach

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) ...

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