Browsing Faculty of Science & Technology (FST) by Subject "Heteroscedasticity, Black-Scholes, Option pricing, Garch model, Foreign exchange rates, Risk Neutral Valuation."
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A comparison of the classical black-scholes model and the Garch option pricing model for currency options.
(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 ...