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
15201995
Maximum likelihood estimation using price data of the derivative contract
JC Duan
Mathematical Finance 4 (2), 155-167, 1994
5121994
Augmented GARCH (p, q) process and its diffusion limit
JC Duan
Journal of econometrics 79 (1), 97-127, 1997
4571997
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
3891999
Empirical martingale simulation for asset prices
JC Duan, JG Simonato
Management Science 44 (9), 1218-1233, 1998
2511998
Multiperiod corporate default prediction—A forward intensity approach
JC Duan, J Sun, T Wang
Journal of Econometrics, 2012
2382012
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
1932001
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
1872000
Systematic risk and the price structure of individual equity options
JC Duan, J Wei
The Review of Financial studies 22 (5), 1981-2006, 2009
1582009
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
1561992
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
1422005
Option pricing under regime switching
JC Duan, I Popova, P Ritchken
Quantitative Finance 2 (116-132), 209, 2002
1412002
Jump and volatility risk premiums implied by VIX
JC Duan, CY Yeh
Journal of Economic Dynamics and Control 34 (11), 2232-2244, 2010
1352010
Conditionally fat-tailed distributions and the volatility smile in options
JC Duan
Rotman School of Management, University of Toronto, Working Paper, 1999
1341999
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
1272006
An analytical approximation for the GARCH option pricing model
JC Duan, G Gauthier, JG Simonato
École des hautes études commerciales, Groupe de recherche en finance, 1997
1271997
Cracking the smile
JC Duan
Risk, 55-59, 1996
1231996
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
1191995
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
Estimating the structural credit risk model when equity prices are contaminated by trading noises
JC Duan, A Fulop
Journal of Econometrics 150 (2), 288-296, 2009
1062009
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