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An Investigation into the suitability of using GARCH process for pricing options on the SAFEX all share index futures contracts
This thesis primarily sets out to investigate the possibility of incorporating autoregressive conditional heteroskedasticity (ARCH) assumptions in an option-valuation model for All Share Index option contracts, as an alternative to the constant variance assumption required by the Black-Scholes optio...
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| Format: | Thesis |
| Language: | English |
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Graduate School of Business (GSB)
2024
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