Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model
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KeywordsBlack-Scholes model; NGARCH model; heteroscedasticity; volatility; risk premium; risk-neutral measure; no arbitrage; Monte Carlo simulations.;
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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