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Works (8)

Approximating Option Greeks in a Classical and Multi-Curve Framework Using Artificial Neural Networks

Journal of Risk and Financial Management
2024-03-29 | Journal article
DOI: 10.3390/jrfm17040140
Contributors: Ryno du Plooy; Pierre J. Venter
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Collateralised option pricing in a South African context: A Univariate GARCH approach

Cogent Economics & Finance
2022-12-31 | Journal article
DOI: 10.1080/23322039.2022.2106631
Contributors: Pierre J Venter; Alexis Levendis; Eben Mare
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Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing

Journal of Risk and Financial Management
2021-06-10 | Journal article
DOI: 10.3390/jrfm14060261
Contributors: Pierre J. Venter; Eben Maré
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A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework

Journal of Risk and Financial Management
2021-06-07 | Journal article
DOI: 10.3390/jrfm14060254
Contributors: Ryno du Plooy; Pierre J. Venter
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GARCH option pricing and implied FX volatility indices

Studies in Economics and Econometrics
2021-01-02 | Journal article
DOI: 10.1080/03796205.2021.1956170
Contributors: Pierre J. Venter; Eben Maré
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Pricing vanilla options using artificial neural networks: Application to the South African market

Cogent Economics & Finance
2021-01-01 | Journal article
DOI: 10.1080/23322039.2021.1914285
Contributors: Ryno du Plooy; Pierre J. Venter; David McMillan
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GARCH Generated Volatility Indices of Bitcoin and CRIX

Journal of Risk and Financial Management
2020-06 | Journal article | Author
DOI: 10.3390/jrfm13060121
Contributors: Pierre Venter; Eben Mare
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Multidisciplinary Digital Publishing Institute
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Price discovery in the cryptocurrency option market: A univariate GARCH approach

Cogent Economics & Finance
2020-01-01 | Journal article
DOI: 10.1080/23322039.2020.1803524
Contributors: Pierre J. Venter; Eben Mare; Edson Pindza; David McMillan
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