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| Tekijä: | Duan, J-C. Zhang, H. |
| Otsikko: | Pricing Hang Seng Index options around the Asian financial crisis - a GARCH approach |
| Lehti: | Journal of Banking and Finance
2001 : NOV, VOL. 25:11, p. 1989-2014 |
| Asiasana: | FINANCIAL CRISES INDEXATION OPTIONS REGRESSION ANALYSIS VOLATILITY HONG KONG |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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