Similar Search Results

The GARCH option pricing model

Duan, Jin-Chuan - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 13-32

Persistent link: https://www.econbiz.de/10001185066

Pricing perpetual American catastrophe put options : a penalty function approach

Lin, X. Sheldon; Wang, Tao - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 287-295

Persistent link: https://www.econbiz.de/10009517636

Valuation of portfolio credit derivatives with default intensities using the Vasicek model

Liang, Jin; Ma, Jun Mei; Wang, Tao; Ji, Qin - In: Asia-Pacific financial markets 18 (2011) 1, pp. 33-54

Persistent link: https://www.econbiz.de/10009237750

Approximating GARCH-Jump models, jump-diffusion processes, and option pricing

Duan, Jin-Chuan; Ritchken, Peter H.; Sun, Zhiqiang - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 21-52

Persistent link: https://www.econbiz.de/10003336780

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

Jump starting GARCH : pricing and hedging options with jumps in returns and volatilities

Duan, Jin-Chuan (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003419274

Jump and volatility risk premiums implied by VIX

Duan, Jin-Chuan; Yeh, Chung-ying - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2232-2244

Persistent link: https://www.econbiz.de/10009008897

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

Estimating the structural credit risk model when equity prices are contaminated by trading noises

Duan, Jin-Chuan; Fulop, Andras - 2005

The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...

Persistent link: https://www.econbiz.de/10011560691

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