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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. 915-930
Persistent link: https://www.econbiz.de/10006821173
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Volatility and Maturity Effects in the Nikkei Index Futures
Chen, Yen-Ju; Duan, Jin-Chuan; Hung, Mao-Wei - In: The journal of futures markets 19 (1999) 8, pp. 895-910
Persistent link: https://www.econbiz.de/10006840702
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Augmented GARCH(p, q) process and its diffusion limit
Duan, Jin-Chuan - In: Journal of econometrics 79 (1997) 1, pp. 97-128
Persistent link: https://www.econbiz.de/10006792629
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Forbearance and Pricing Deposit Insurance in a Multiperiod Framework
Duan, Jin-Chuan; Yu, Min-Teh - In: The journal of risk and insurance : the journal of the … 61 (1994) 4, pp. 575-591
Persistent link: https://www.econbiz.de/10006221804
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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/10005891872
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Pricing Foreign Currency and Cross-Currency Options Under GARCH
Duan, Jin-Chuan; Wei, Jason Z. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10005965388
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Asymptotic Distribution of the EMS Option Price Estimator
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: Management science : journal of the Institute for … 47 (2001) 8, pp. 1122-1132
Persistent link: https://www.econbiz.de/10006089952
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Empirical Martingale Simulation for Asset Prices
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Management science : journal of the Institute for … 44 (1998) 9, pp. 1218-1233
Persistent link: https://www.econbiz.de/10006098445
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Pricing Discretely Monitored Barrier Options by a Markov Chain
Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10005934305
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Jump and volatility risk premiums implied by VIX
Duan, Jin-Chuan; Yeh, Chung-Ying - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2232-2245
Persistent link: https://www.econbiz.de/10008705606