Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand
Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we a...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
WSEAS. Unifying Science and Engineering
2021
|
| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/30894/1/WTM%2020%202021%20112-121.pdf https://doi.org/10.37394/23206.2021.20.12 https://repo.uum.edu.my/id/eprint/30894/ https://wseas.com/journals/mathematics/2021/a245106-008(2021).pdf https://doi.org/10.37394/23206.2021.20.12 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!