Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing
نویسندگان
چکیده
منابع مشابه
The Complexity of GARCH Option Pricing Models
When using trees to price options, the standard practice is to increase the number of partitions per day, n, to improve accuracy. But increasing n incurs computational overhead. In fact, raising n makes the popular Ritchken-Trevor tree under non-linear GARCH (NGARCH) grow exponentially when n exceeds a typically small threshold. Worse, when this happens, the tree cannot grow beyond a certain ma...
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ژورنال
عنوان ژورنال: Journal of Risk and Financial Management
سال: 2021
ISSN: 1911-8074
DOI: 10.3390/jrfm14060261