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Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach

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  • Duan, Jin-Chuan
  • Zhang, Hua

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  • Duan, Jin-Chuan & Zhang, Hua, 2001. "Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1989-2014, November.
    • Handle: RePEc:eee:jbfina:v:25:y:2001:i:11:p:1989-2014
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    4. Jin-Chuan Duan & Evan Dudley & Geneviève Gauthier & Jean-Guy Simonato, 1999. "Pricing Discretely Monitored Barrier Options by a Markov Chain," CIRANO Working Papers 99s-15, CIRANO.
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    8. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
    9. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO.
    10. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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    12. Jin-Chuan Duan & Technology & Jean-Guy Simonato, "undated". "American GARCH Option Pricing by a Markov Chain Approximation," Computing in Economics and Finance 1997 131, Society for Computational Economics.
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    28. Campa, Jose Manuel & Chang, P H Kevin, 1995. "Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options," Journal of Finance, American Finance Association, vol. 50(2), pages 529-547, June.
    29. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    30. Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 419-438, December.
    31. Jin-Chuan Duan & Jean-Guy Simonato, 1998. "Empirical Martingale Simulation for Asset Prices," Management Science, INFORMS, vol. 44(9), pages 1218-1233, September.
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