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Jin-Chuan Duan
Jin-Chuan Duan
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Title
Cited by
Cited by
Year
The GARCH option pricing model
JC Duan
Mathematical finance 5 (1), 13-32, 1995
16191995
Maximum likelihood estimation using price data of the derivative contract
JC Duan
Mathematical Finance 4 (2), 155-167, 1994
5241994
Augmented GARCH (p, q) process and its diffusion limit
JC Duan
Journal of Econometrics 79 (1), 97-127, 1997
4831997
Estimating and testing exponential-affine term structure models by Kalman filter
JC Duan, JG Simonato
Review of quantitative finance and accounting 13 (2), 111-135, 1999
3961999
Multiperiod corporate default prediction—A forward intensity approach
JC Duan, J Sun, T Wang
Journal of Econometrics, 2012
3092012
Empirical martingale simulation for asset prices
JC Duan, JG Simonato
Management Science 44 (9), 1218-1233, 1998
2651998
American option pricing under GARCH by a Markov chain approximation
JC Duan, JG Simonato
Journal of Economic Dynamics and Control 25 (11), 1689-1718, 2001
2052001
Correction: maximum likelihood estimation using price data of the derivative contract (mathematical finance 1994, 4/2, 155–167)
JC Duan
Mathematical Finance 10 (4), 461-462, 2000
1932000
Systematic risk and the price structure of individual equity options
JC Duan, J Wei
The Review of Financial studies 22 (5), 1981-2006, 2009
1692009
Fixed-rate deposit insurance and risk-shifting behavior at commercial banks
JC Duan, AF Moreau, CW Sealey
Journal of Banking & Finance 16 (4), 715-742, 1992
1641992
Option pricing under regime switching
JC Duan, I Popova, P Ritchken
Quantitative Finance 2 (2), 116, 2002
1602002
Jump and volatility risk premiums implied by VIX
JC Duan, CY Yeh
Journal of Economic Dynamics and Control 34 (11), 2232-2244, 2010
1542010
On the equivalence of the KMV and maximum likelihood methods for structural credit risk models
JC Duan, G Gauthier, JG Simonato
Groupe d'études et de recherche en analyse des décisions, 2005
1442005
Conditionally fat-tailed distributions and the volatility smile in options
JC Duan
Rotman School of Management, University of Toronto, Working Paper, 1999
1421999
An analytical approximation for the GARCH option pricing model
JC Duan, G Gauthier, JG Simonato
1391997
Approximating Garch‐Jump Models, Jump‐Diffusion Processes, And Option Pricing
JC Duan, P Ritchken, Z Sun
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006
1322006
Cracking the smile
JC Duan
Risk, 55-59, 1996
1281996
Deposit insurance and bank interest rate risk: Pricing and regulatory implications
JC Duan, AF Moreau, CW Sealey
Journal of Banking & Finance 19 (6), 1091-1108, 1995
1241995
Pricing Hang Seng Index options around the Asian financial crisis–A GARCH approach
JC Duan, H Zhang
Journal of Banking & Finance 25 (11), 1989-2014, 2001
1102001
Option valuation with co-integrated asset prices
JC Duan, SR Pliska
Journal of Economic Dynamics and Control 28 (4), 727-754, 2004
1092004
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