This paper proposes a method for pricing derivatives under the generalized autoregressive
conditional heteroskedasticity (GARCH) assumption for underlying assets in the context of a" …

Many asset prices, including exchange rates, exhibit periods of stability punctuated by
infrequent, substantial, often one‐sided adjustments. Statistically, this generates empirical …

We investigate the empirical performance of hedging strategies based on Greeks, such as
Delta and Delta-Gamma, for (European-style) crude oil options in a generalized auto …

We investigate the empirical performance of hedging strategies based on Greeks, such as
Delta and Delta-Gamma, for (European-style) crude oil options in a GARCH model …

We investigate the pricing of options in a class of discrete-time Flexible Coefficient
Generalized Autoregressive Conditional Heteroskedastic (FC-GARCH) models with non …

Many asset prices, including exchange rates, exhibit stable periods punctuated by
substantial, often one-sided adjustments. Statistically, this generates empirical distributions …