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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Cited by:
- Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
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Keywords
Black-Scholes model; NGARCH model; heteroscedasticity; volatility; risk premium; risk-neutral measure; no arbitrage; Monte Carlo simulations.;JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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