EUROPEAN OPTION PRICING WITH GARCH-M(1,1) MODEL
In this final project, the objective of the study is to develop GARCH model for European option pricing. The motivation behind this study is based on observations on the volatility of financial assets which tends to contain volatility clustering. Volatility clustering in financial assets can be capt...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/28013 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |