An analytical approximation of option prices via TGARCH model
An option is a financial contract that can be used to reduce risks in an investment. It is widely known that a fair price of this contract depends significantly on the volatility of an underlying asset price, which may be affected differently by positive and negative information. Therefore, the fair...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-01-01
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| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2020.1805636 |