مرکز منطقه ای اطلاع رساني علوم و فناوري - Pricing Hang Seng Index options around the Asian financial crisis

Title of article :

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

Author/Authors :

Jin-Chuan Duan، نويسنده , , Hua Zhang، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2001

Pages :

From page :

1989

To page :

2014

Keywords :

Index options , Smile/smirk , GARCH , Black–Scholes model , Implied volatility

Journal title :

Journal of Banking and Finance

Serial Year :

2001

Journal title :

Journal of Banking and Finance

Record number :

193316

Link To Document :