Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence
Aparna Bhat & Kirti Arekar
| Year of publication: |
March 2016
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|---|---|
| Authors: | Bhat, Aparna ; Arekar, Kirti |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 8.2016, 3, p. 123-136
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| Subject: | Black-Scholes-Merton | currency options | implied volatility | NGARCH | Non-Linear Least Squares | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Indien | India | ARCH-Modell | ARCH model | Black-Scholes-Modell | Black-Scholes model | Devisenoption | Currency option | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5539/ijef.v8n3p123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011447894