An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
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Date
2012Author
Dash, Mihir
Dagha, Jay H.
Sharma, Pooja
Singhal, Rashmi
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Journal of CENTRUM Cathedra, Vol. 5, Issue 1Abstract
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.