Browsing by Subject "Volatility models"

Now showing items 1-2 of 2

    • Model risk in pricing path-dependent derivatives: an illustration 

      Virmani, Vineet (Indian Institute of Management, Ahmedabad, 2014)
      Model selection and model uncertainty go hand-in-hand. However, while there is uncertainty associated with the selection of any model, the context is paramount. This study is an illustration of issues surrounding model ...

    • Modeling and Forecasting Volatility in Indian Capital Markets 

      Pandey, Ajay (2009-09-02)
      Various volatility estimators and models have been proposed in the literature to measure volatility of asset returns. In this paper, we compare empirical performance of various unconditional volatility estimators and ...