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The Garch Option Pricing Model
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Duan, Jin-Chuan
44
Fulop, Andras
5
Simonato, Jean-Guy
5
Gauthier, Geneviève
3
Moreau, Arthur F.
3
Sealey, C. W.
3
Yu, Min-Teh
3
Kim, Baeho
2
Kim, Woojin
2
Pliska, Stanley R.
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Shin, Donghwa
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Sun, Jie
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Wang, Tao
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Yoon, Suk-heun
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Journal of banking & finance
7
Journal of econometrics
3
Global credit review
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic dynamics & control
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Advances in investment analysis and portfolio management : a research annual
1
Applied quantitative finance
1
Documents de recherche / ESSEC Centre de Recherche
1
Economics letters
1
International journal of theoretical and applied finance
1
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1
Research in finance
1
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1
Rotman School of Management Working Paper
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The journal of futures markets
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ECONIS (ZBW)
44
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Estimating and testing exponential-affine term structure models by Kalman filter
Duan, Jin-Chuan
;
Simonato, Jean-Guy
- In:
Review of quantitative finance and accounting
13
(
1999
)
2
,
pp. 111-135
Persistent link: https://www.econbiz.de/10001445819
Saved in:
7
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
Saved in:
8
Forbearance and pricing deposit insurance in a multiperiod framework
Duan, Jin-Chuan
- In:
The journal of risk and insurance : the journal of the …
61
(
1994
)
4
,
pp. 575-591
Persistent link: https://www.econbiz.de/10001177803
Saved in:
9
Deposit insurance and bank interest rate risk : pricing and regulatory implications
Duan, Jin-Chuan
- In:
Journal of banking & finance
19
(
1995
)
6
,
pp. 1091-1108
Persistent link: https://www.econbiz.de/10001187927
Saved in:
10
Incentive-compatible deposit insurance pricing and bank regulatory policies
Duan, Jin-Chuan
- In:
Research in finance
11
(
1993
),
pp. 207-227
Persistent link: https://www.econbiz.de/10001159869
Saved in:
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