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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
17651995
Maximum likelihood estimation using price data of the derivative contract
JC Duan
Mathematical Finance 4 (2), 155-167, 1994
5611994
Augmented GARCH (p, q) process and its diffusion limit
JC Duan
Journal of Econometrics 79 (1), 97-127, 1997
5141997
Estimating and testing exponential-affine term structure models by Kalman filter
JC Duan, JG Simonato
Review of quantitative finance and accounting 13, 111-135, 1999
4261999
Multiperiod corporate default prediction—A forward intensity approach
JC Duan, J Sun, T Wang
Journal of Econometrics, 2012
3992012
Empirical martingale simulation for asset prices
JC Duan, JG Simonato
Management Science 44 (9), 1218-1233, 1998
2751998
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
2262001
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
2112000
Systematic risk and the price structure of individual equity options
JC Duan, J Wei
The Review of Financial studies 22 (5), 1981-2006, 2009
1932009
Option pricing under regime switching
JC Duan, I Popova, P Ritchken
Quantitative Finance 2 (2), 116, 2002
1802002
Jump and volatility risk premiums implied by VIX
JC Duan, CY Yeh
Journal of Economic Dynamics and Control 34 (11), 2232-2244, 2010
1722010
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
1721992
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
1542005
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
1501997
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
1492006
Conditionally fat-tailed distributions and the volatility smile in options
JC Duan
Rotman School of Management, University of Toronto, Working Paper, 1999
1461999
Cracking the smile
JC Duan
Risk, 55-59, 1996
1371996
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
1321995
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
1212001
Option valuation with co-integrated asset prices
JC Duan, SR Pliska
Journal of Economic Dynamics and Control 28 (4), 727-754, 2004
1132004
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