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Modeling time series information into option prices : an empirical evaluation of statistical projection and GARCH option pricing model
Chen, An-sing; Leung, Mark T. - In: Journal of banking & finance 29 (2005) 12, pp. 2947-2969
Persistent link: https://www.econbiz.de/10003203805
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Switching asymmetric GARCH and options on a volatility index
Daouk, Hazem; Guo, Jie Qun - In: The journal of futures markets 24 (2004) 3, pp. 251-282
Persistent link: https://www.econbiz.de/10001968654
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Dynamic index options trading strategies : direct forecasting versus option pricing
Chen, An-sing; Yueh-Chung, Chu - In: Advances in Pacific Basin business, economics, and finance 4 (2000), pp. 119-134
Persistent link: https://www.econbiz.de/10001543045
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The affine styled-facts price dynamics for the natural gas : evidence from daily returns and option prices
Hsu, Chih-Chen; Chen, An-sing; Lin, Shih-kuei - In: Review of quantitative finance and accounting 48 (2017) 3, pp. 819-848
Persistent link: https://www.econbiz.de/10011796892