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

Dash, MihirDagha, Jay H.Sharma, PoojaSinghal, Rashmi2023-07-212023-07-212012https://repositorio.pucp.edu.pe/index/handle/123456789/194804Derivatives 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.enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Black-Scholes modelGARCHArbitrageDerivativesHedgingOverpricingSpeculationVolatilityAn Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Optionsinfo:eu-repo/semantics/articlehttps://purl.org/pe-repo/ocde/ford#5.02.04