Generalized Auto Regressive Conditional Heteroscedasticity
What is Generalized Auto Regressive Conditional Heteroscedasticity?
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GARCH is one member of a huge family of econometric models utilized to model time-varying variance. They are popular into quantitative finance since they can be used for forecasting and measuring volatility.
What is Extreme Value Theory?
A stock whose value is now $44.75 is growing on average by 15 percent per annum. Its volatility is 22 percent. The interest rate is 4 percent. You need to value a call option along with a strike of $45, expiring in two months’ time. So, what can you do?
Illustrates an example of binomial model as complete market?
How many prices have in practice option for put–call parity?
Illustrates a case of a static arbitrage and model-independent arbitrage?
Explain the tax considerations effect on the cost of equity and the cost of debt?
What are different volatilities in vanilla equity option?
Illustrates an example of complete and incomplete markets?
describe the operational benefits of jit system
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