Browsing Faculty of Science & Technology (FST) by Author "Aduda, Jane A"
Now showing items 1-1 of 1
-
A comparison of the classical black-scholes model and the Garch option pricing model for currency options.
Aduda, Jane A (School of Mathematics, University of Nairobi, 2008)This study 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 ...