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Cogent Economics & Finance Volume 10, 2022 - Issue 1
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FINANCIAL ECONOMICS

Collateralised option pricing in a South African context: A Univariate GARCH approach

Pierre J Venter1 Department of Finance and Investment Management, University of Johannesburg, Aucklandpark, South Africa;2 Department of Actuarial Science, University of Pretoria, Hatfield, South AfricaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-7304-5806View further author information
ORCID Icon,
Alexis Levendis1 Department of Finance and Investment Management, University of Johannesburg, Aucklandpark, South Africa;2 Department of Actuarial Science, University of Pretoria, Hatfield, South AfricaView further author information
&
Eben Mare3 Department of Mathematics and Applied Mathematics, University of Pretoria, Private Bag X20, Hatfield, 0028, South AfricaView further author information
Article: 2106631 | Received 25 Jul 2021, Accepted 22 Jul 2022, Published online: 08 Aug 2022

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