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Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework

Nteumagné, B. F.; Pindza, E.; Maré, Eben - In: Journal of mathematical finance 4 (2014) 1, pp. 35-46

Persistent link: https://www.econbiz.de/10010422895

Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

Flint, Emlyn; Maré, Eben - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10011773296

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, Eben - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate...

Persistent link: https://www.econbiz.de/10012588206

Collateralised option pricing in a South African context : a Univariate GARCH approach

Venter, Pierre J.; Levendis, Alexis; Maré, Eben - In: Cogent economics & finance 10 (2022) 1, pp. 1-12

In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered. The models are used to price fully collateralised...

Persistent link: https://www.econbiz.de/10013402111

Price discovery in the volatility index option market : a univariate GARCH approach

Venter, Pierre J; Maré, Eben - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494881

GARCH option pricing and implied FX volatility indices

Venter, Pierre J.; Maré, Eben - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52

Persistent link: https://www.econbiz.de/10013173960

Price discovery in the cryptocurrency option market : a univariate GARCH approach

Venter, Pierre J.; Maré, Eben; Pindza, Edson - In: Cogent economics & finance 8 (2020) 1, pp. 1-9

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other takes asymmetric effects into account. Furthermore, the accuracy of the...

Persistent link: https://www.econbiz.de/10013179502