An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
Archivos
Fecha
2012
Título de la revista
ISSN de la revista
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Editor
Pontificia Universidad Católica del Perú. CENTRUM
DOI
Resumen
Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives.
Descripción
Palabras clave
Black-Scholes model, GARCH, Arbitrage, Derivatives, Hedging, Overpricing, Speculation, Volatility
Citación
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Licencia Creative Commons
Excepto se indique lo contrario, la licencia de este artículo se describe como info:eu-repo/semantics/openAccess