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An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

dc.contributor.authorDash, Mihir
dc.contributor.authorDagha, Jay H.
dc.contributor.authorSharma, Pooja
dc.contributor.authorSinghal, Rashmi
dc.date.accessioned2023-07-21T19:18:16Z
dc.date.available2023-07-21T19:18:16Z
dc.date.issued2012
dc.identifier.urihttps://repositorio.pucp.edu.pe/index/handle/123456789/194804
dc.description.abstractDerivatives 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.en_US
dc.language.isoeng
dc.publisherPontificia Universidad Católica del Perú. CENTRUM
dc.relation.ispartofurn:issn:1851-6599
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/4.0*
dc.sourceJournal of CENTRUM Cathedra, Vol. 5, Issue 1
dc.subjectBlack-Scholes modelen_US
dc.subjectGARCHen_US
dc.subjectArbitrageen_US
dc.subjectDerivativesen_US
dc.subjectHedgingen_US
dc.subjectOverpricingen_US
dc.subjectSpeculationen_US
dc.subjectVolatilityen_US
dc.titleAn Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Optionsen_US
dc.typeinfo:eu-repo/semantics/article
dc.type.otherArtículo
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.04
dc.publisher.countryPE


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