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Showing 1 to 1 of 1 for “"BEKK-GARCH model"”.
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A Study on GARCH volatility processes in pricing derivatives
In this thesis the GARCH models are applied to evaluate financial options and futures. In the first application, the GARCH models in parsimonious form are studied for pricing the S&P500 options. Unlike previous studies that focus on developed formulation, the results indicate that simplified models …