Bitcoin option pricing with a SETAR-GARCH model

Tak Kuen Siu^*, Robert J. Elliott

^*Corresponding author for this work

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

169 Downloads (Pure)

1 Finished

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Finished

ARC - DP: Two-Price Quantitative Finance
Siu, K., Elliott, R. J. & Madan, D.
7/02/19 → 31/12/22
Project: Research