GARCH option pricing and implied FX volatility indices-Reference-Cited by-同舟云学术

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GARCH option pricing and implied FX volatility indices

Published:2021-01-02 Issue:1 Volume:45 Page:42-52
ISSN:0379-6205
Container-title:Studies in Economics and Econometrics
language:en
Short-container-title:Studies in Economics and Econometrics

Author:

Venter Pierre J.¹²^ORCID,Maré Eben³^ORCID

Affiliation:

1. Department of Finance and Investment Management, University of Johannesburg, Aucklandpark, South Africa

2. Department of Actuarial Science, University of Pretoria, Hatfield, South Africa

3. Department of Mathematics and Applied Mathematics, University of Pretoria, Hatfield, South Africa

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/03796205.2021.1956170

Reference13 articles.

1. Trading and Investing in Volatility Products

2. Bank for International Settlements Triennial Central Bank Survey. (2019). Global foreign exchange market turnover in 2019. Basel: BIS.

3. Asymmetric volatility connectedness on the forex market

4. Empirical Performance of Black-Scholes and GARCH Option Pricing Models during Turbulent Times: The Indian Evidence

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