An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

Descripción del Articulo

Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives.
Detalles Bibliográficos
Autores: Dash, Mihir, Dagha, Jay H., Sharma, Pooja, Singhal, Rashmi
Formato: artículo
Fecha de Publicación:2012
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/194804
Enlace del recurso:https://repositorio.pucp.edu.pe/index/handle/123456789/194804
Nivel de acceso:acceso abierto
Materia:Black-Scholes model
GARCH
Arbitrage
Derivatives
Hedging
Overpricing
Speculation
Volatility
https://purl.org/pe-repo/ocde/ford#5.02.04
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spelling Dash, MihirDagha, Jay H.Sharma, PoojaSinghal, Rashmi2023-07-21T19:18:16Z2023-07-21T19:18:16Z2012https://repositorio.pucp.edu.pe/index/handle/123456789/194804Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives.engPontificia Universidad Católica del Perú. CENTRUMPEurn:issn:1851-6599info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Journal of CENTRUM Cathedra, Vol. 5, Issue 1reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPBlack-Scholes modelGARCHArbitrageDerivativesHedgingOverpricingSpeculationVolatilityhttps://purl.org/pe-repo/ocde/ford#5.02.04An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Optionsinfo:eu-repo/semantics/articleArtículoORIGINALJCC-5.1-69.pdfJCC-5.1-69.pdfTexto completoapplication/pdf524711https://repositorio.pucp.edu.pe/bitstreams/9cc9d83a-666a-473e-bf0e-f9c1a73dfa34/download1e9f7655f015d1bf502c61fd3f566cbcMD51trueAnonymousREADTHUMBNAILJCC-5.1-69.pdf.jpgJCC-5.1-69.pdf.jpgIM Thumbnailimage/jpeg20622https://repositorio.pucp.edu.pe/bitstreams/b893f1fa-191a-4c3a-b62d-6f51e42cb4f4/download65c4333c8187b1f31eb9c38f7c66cf80MD52falseAnonymousREADTEXTJCC-5.1-69.pdf.txtJCC-5.1-69.pdf.txtExtracted texttext/plain48441https://repositorio.pucp.edu.pe/bitstreams/e7e18089-1f9c-4bd0-9add-218fd03385bc/download0f8def6fd43a7e0bc36701c78fbfac23MD53falseAnonymousREAD20.500.14657/194804oai:repositorio.pucp.edu.pe:20.500.14657/1948042025-04-11 09:58:18.766http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.en_US.fl_str_mv An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
title An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
spellingShingle An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
Dash, Mihir
Black-Scholes model
GARCH
Arbitrage
Derivatives
Hedging
Overpricing
Speculation
Volatility
https://purl.org/pe-repo/ocde/ford#5.02.04
title_short An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
title_full An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
title_fullStr An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
title_full_unstemmed An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
title_sort An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
author Dash, Mihir
author_facet Dash, Mihir
Dagha, Jay H.
Sharma, Pooja
Singhal, Rashmi
author_role author
author2 Dagha, Jay H.
Sharma, Pooja
Singhal, Rashmi
author2_role author
author
author
dc.contributor.author.fl_str_mv Dash, Mihir
Dagha, Jay H.
Sharma, Pooja
Singhal, Rashmi
dc.subject.en_US.fl_str_mv Black-Scholes model
GARCH
Arbitrage
Derivatives
Hedging
Overpricing
Speculation
Volatility
topic Black-Scholes model
GARCH
Arbitrage
Derivatives
Hedging
Overpricing
Speculation
Volatility
https://purl.org/pe-repo/ocde/ford#5.02.04
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.04
description Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives.
publishDate 2012
dc.date.accessioned.none.fl_str_mv 2023-07-21T19:18:16Z
dc.date.available.none.fl_str_mv 2023-07-21T19:18:16Z
dc.date.issued.fl_str_mv 2012
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv https://repositorio.pucp.edu.pe/index/handle/123456789/194804
url https://repositorio.pucp.edu.pe/index/handle/123456789/194804
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:1851-6599
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.publisher.country.none.fl_str_mv PE
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.source.es_ES.fl_str_mv Journal of CENTRUM Cathedra, Vol. 5, Issue 1
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
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An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options
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