Pricing financial derivatives: The impact of business conditions and systematic risk
This thesis comprises of three essays on the pricing of financial derivatives. In the first essay, we assess the return fitting and option valuation performance of generalized autoregressive conditional heteroscedasticity (GARCH) models. We compare component versus GARCH(1,1) models, affine versus n...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en |
| Published: |
McGill University
2010
|
| Subjects: | |
| Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=95114 |