Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model
The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly importa...
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| Format: | Article |
| Language: | English |
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Institute of Public Finance
2006-12-01
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| Series: | Financial Theory and Practice |
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| Online Access: | http://www.ijf.hr/eng/FTP/2006/4/posedel.pdf |