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Duality, Forecasting and Selection of Autoregressive Moving Average Models
(University of Nairobi., 2002)
Based on both duality in time between time series processes and lag transformation, we define duality in causality, invertibility for mixed Autoregressive moving average ARMA(p,q) models. We construct expressions, in ...
A COMPARISON OF THE CLASSICAL BLACK-SCHOLES MODEL AND THE GARCH OPTION PRICING MODEL FOR CURRENCY OPTIONS
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 ...