Empirical Analysis of GARCH models and their performance in pricing options in comparison to the Black Scholes Model
There are two dimensions to this paper. The first part aims at investigating two heteroscedastic models, namely the GARCH (1, 1) and its variant called the EGARCH (1, 1). The two models exhibit all the important features displayed by time series in the real-world, particularly satisfying the four mo...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2008
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| Online Access: | https://eprints.nottingham.ac.uk/22137/ |