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Option pricing for co-integrated assets
Duan, Jin-Chuan; Pliska, Stanley R. - In: Advances in finance and stochastics : essays in honour …, (pp. 85-99). 2002
Persistent link: https://www.econbiz.de/10001672222
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Capital standard, forbearance and deposit insurance pricing under GARCH
Duan, Jin-Chuan; Yu, Min-Teh - In: Journal of banking & finance 23 (1999) 11, pp. 1691-1706
Persistent link: https://www.econbiz.de/10001415173
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An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of computational finance 2 (1999) 4, pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
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American option pricing under GARCH by a Markov chain approximation
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Journal of economic dynamics & control 25 (2001) 11, pp. 1689-1718
Persistent link: https://www.econbiz.de/10001599252
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Option valuation with co.integrated asset prices
Duan, Jin-Chuan; Pliska, Stanley R. - In: Journal of economic dynamics & control 28 (2004) 4, pp. 727-754
Persistent link: https://www.econbiz.de/10001854468
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Executive stock options and incentive effects due to systematic risk
Duan, Jin-Chuan; Wei, Jason - In: Journal of banking & finance 29 (2005) 5, pp. 1185-1211
Persistent link: https://www.econbiz.de/10002628560
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Approximating American option prices in the GARCH framework
Duan, Jin-Chuan; Gauthier, Geneviève; Sasseville, Caroline - In: The journal of futures markets 23 (2003) 10, pp. 915-929
Persistent link: https://www.econbiz.de/10001789593
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Convergence speed of GARCH option price to diffusion option price
Duan, Jin-Chuan; Wang, Yazhen; Zou, Jian - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 359-391
Persistent link: https://www.econbiz.de/10003867411
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Forward-looking market risk premium
Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
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Pricing Hang Seng Index options around the Asian financial crisis : a GARCH approach
Duan, Jin-Chuan; Zhang, Hua - In: Journal of banking & finance 25 (2001) 11, pp. 1989-2014
Persistent link: https://www.econbiz.de/10001617904