Search
Now showing items 1-3 of 3
SMA 342: Theory of Estimation – ODL Study Manual
(University of Nairobi., 2007)
A COMPARISON OF THE CLASSICAL BLACK-SCHOLES MODEL AND THE GARCH OPTION PRICING MODEL FOR CURRENCY OPTIONS
(2008)
This paper looks at the consequences of introducing heteroscedasticity in option pricing. The analysis
shows that introducing heteroscedasticity results in a better fitting of the empirical distribution of foreign
exchange ...