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Author:Duan, J-C.
Zhang, H.
Title:Pricing Hang Seng Index options around the Asian financial crisis - a GARCH approach
Journal:Journal of Banking and Finance
2001 : NOV, VOL. 25:11, p. 1989-2014
Index terms:FINANCIAL CRISES
INDEXATION
OPTIONS
REGRESSION ANALYSIS
VOLATILITY
HONG KONG
Language:eng
Abstract:This paper investigates how well the Hang Seng Index options, the most important class of option contracts traded in Hong Kong, are priced the GARCH approach. The authors calibrated the GARCH parameters using the call put option data and used them to price options in the subsequent weeks.
SCIMA record nr: 231327
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