Zobrazeno 1 - 2
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pro vyhledávání: '"GARCH(1-1)"'
Autor:
Preminger, Arie
GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time series, which can be particularly heavy tailed. In this paper, we propose a novel log-transform-based least squares approach to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1493::49abf3aaf7a095bb76d35a43c2e2605f
https://hdl.handle.net/2078.1/184245
https://hdl.handle.net/2078.1/184245
Autor:
Hsing, Shih-Pei
This article examines the hedging positions derived from the Black-Scholes(B-S) model and the GARCH(1,1) models, respectively, when the log returns of underlying asset exhibits GARCH(1,1) process. The result shows that Black-Scholes and GARCH options