Venter, Pierre J.; Levendis, Alexis; Maré, E. - In: Cogent economics & finance 10 (2022) 1, pp. 1-12
In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered. The models are used to price fully collateralised...