Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Arijit Santra"'
Autor:
Elizabeth Behrman, Arijit Santra, Siladitya Sarkar, Prantik Roy, Ritika Yadav, Soumi Dutta, Arijit Ghosal
Publikováno v:
Data Science and Data Analytics ISBN: 9781003111290
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f6d2b07137dc817858361285ccc1b1b
https://doi.org/10.1201/9781003111290-22-27
https://doi.org/10.1201/9781003111290-22-27
Publikováno v:
SSRN Electronic Journal.
We have examined the predictive power of GARCH model to forecast return volatility for Nifty 50 index. Realized volatility, which is the sum of intraday squared returns, is used as the proxy for the true volatility. Three models of the GARCH family h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e5954d275e58c02584f076fc11a914a
https://doi.org/10.2139/ssrn.3341695
https://doi.org/10.2139/ssrn.3341695
Autor:
Binay Chakrabarti, Arijit Santra
Publikováno v:
SSRN Electronic Journal.
This paper studies the performance of Heston Model and Black-Scholes Model in pricing index options. I have compared the two models based on 1074 call option prices of S&P 500 on 1st November, 2016. I have calibrated the parameters of the Heston Mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::28fd3d2a23e9964b3108026587809936
https://doi.org/10.2139/ssrn.2943608
https://doi.org/10.2139/ssrn.2943608