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Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach · Study

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ArticlePricing Hang Seng Index options around the Asian financial crisis – A GARCH approach

Jin‐Chuan Duan2001

Article2001

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

Jin‐Chuan Duan · Hua Zhang

71 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1992ARCH modeling in finance 1987The Pricing of Options on Assets with Stochastic Volatilities 1993Measuring and Testing the Impact of News on Volatility 1976The valuation of options for alternative stochastic processes

Cited by

2005Pricing American options when the underlying asset follows GARCH processes 2007Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets 2013GARCH Option Valuation:Theory and Evidence 2009Volatility Forecasting in the Hang Seng Index using the GARCH Approach 2022Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models

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2013GARCH Option Valuation:Theory and Evidencearticle · 15 shared references 199520 Testing option pricing modelschapter · 14 shared references 2005Pricing American options when the underlying asset follows GARCH processesarticle · 14 shared references 2003Explaining Smilesarticle · 14 shared references 2006APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICINGarticle · 13 shared references 2003Hedging options under transaction costs and stochastic volatilityarticle · 13 shared references

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Year2001

Typearticle

Published2001-11-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0378-4266(00)00166-7

openalex_workW2010738895

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2008

Dynamic Programming Approach for Valuing Options in the GARCH Model

2003An empirical investigation of the GARCH option pricing model: Hedging performance