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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
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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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Pricing foreign currency and cross-currency options under GARCH
Duan, Jin-Chuan; Wei, Jason - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 51-68
Persistent link: https://www.econbiz.de/10001432469
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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. 9-31
Persistent link: https://www.econbiz.de/10001781756
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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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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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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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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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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
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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