Open Access
Research Article·pp. 483–504·Vol. 28, Issue 3Apr 2025
Option valuation using Garch-type models : Empirical evidence using USD/INR data
Aaisha B. S. Mohungoo, Jason Narsoo
Published Online: 08 Apr 2025DOI: 10.47974/JSMS-1359
In this paper: The aim of this paper is to evaluate the option pricing performance of three GARCH-type models against the Black-Scholes model. The standard GARCH model and the asymmetric GJR-GARCH and EGARCH models...
