Venter, Pierre J.Levendis, Alexis JacquesMare, Eben2023-05-152023-05-152022Pierre J Venter, Alexis Levendis & Eben Mare (2022) Collateralised option pricing in a South African context: A Univariate GARCH approach, Cogent Economics & Finance, 10:1, 2106631, DOI: 10.1080/23322039.2022.2106631.2332-2039 (online)10.1080/23322039.2022.2106631http://hdl.handle.net/2263/90686In 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) models are considered. The models are used to price fully collateralised and zero collateral options (European, Asian, and lookback options). The effect of collateral is illustrated by the difference between zero collateral and fully collateralised option price surfaces. Finally, the effect of asymmetry is shown by the difference between the symmetric and asymmetric GARCH option price surfaces.en© 2022 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.Option pricingCollateralExotic optionsGeneralised autoregressive heteroskedasticity (GARCH)Natural and agricultural sciences articles SDG-08Natural and agricultural sciences articles SDG-09Natural and agricultural sciences articles SDG-10Natural and agricultural sciences articles SDG-17Article