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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Bibliographic Details
Main Author: LIZAL (NIM: 10114001), IMELDA
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
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