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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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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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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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A one-step test of the arbitrage pricing theory
Duan, Jin-Chuan - In: Advances in investment analysis and portfolio … 2 (1994), pp. 71-96
Persistent link: https://www.econbiz.de/10001185489
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Augmented GARCH (p,q) process and its diffusion limit
Duan, Jin-Chuan - In: Journal of econometrics 79 (1997) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10001220068
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Actuarial par spread and empirical pricing of CDS by decomposition
Duan, Jin-Chuan - In: Global credit review 4 (2014), pp. 51-65
Persistent link: https://www.econbiz.de/10010422182
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Forbearance, deposit insurance, and the market value of savings and loan associations
So, Jacky C.; Wei, Jason - In: Advances in financial planning and forecasting 8 (1998), pp. 177-200
Persistent link: https://www.econbiz.de/10001406390
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Pricing forward contracts and options on foreign assets : theories and empirical tests
Wei, Jason - 1992
Persistent link: https://www.econbiz.de/10000910624
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Power currency options
Tucker, Alan L. - In: Global finance journal 8 (1997) 2, pp. 167-179
Persistent link: https://www.econbiz.de/10001233027
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Valuation of LIBOR-contingent FX options
Tucker, Alan L. - In: Journal of international money and finance 17 (1998) 2, pp. 269-277
Persistent link: https://www.econbiz.de/10001246608