An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
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Pontificia Universidad Católica del Perú. CENTRUM
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Abstract
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.
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Black-Scholes model, GARCH, Arbitrage, Derivatives, Hedging, Overpricing, Speculation, Volatility
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Except where otherwised noted, this item's license is described as info:eu-repo/semantics/openAccess