Empirical Analysis of GARCH models and their performance in pricing options in comparison to the Black Scholes Model

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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Bibliographic Details
Main Author: Iyer, Meenu
Format: Dissertation (University of Nottingham only)
Language:English
Published: 2008
Subjects:
GARCH pricing model
Online Access:https://eprints.nottingham.ac.uk/22137/

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