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

Journal of Banking and Finance

Volumn 25, Issue 11, 2001, Pages 1989-2014

  Duan, Jin Chuan ^a,b   Zhang, Hua ^c  

^a UNIVERSITY OF TORONTO   (Canada)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Black Scholes model; G13; GARCH; Implied volatility; Index options; Smile smirk

Indexed keywords

EID: 0008057023     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00166-7     Document Type: Article

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