The GARCH option pricing model
JC Duan - Mathematical finance, 1995 - Wiley Online Library
This article develops an option pricing model and its corresponding delta formula in the
context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return …
context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return …
Promotion of plant growth by ACC deaminase-producing soil bacteria
Plant growth-promoting bacteria that contain the enzyme 1-aminocyclopropane-1-carboxylate
(ACC) deaminase facilitate plant growth and development by decreasing plant ethylene …
(ACC) deaminase facilitate plant growth and development by decreasing plant ethylene …
Promotion of plant growth by bacterial ACC deaminase
To date, there has been only limited commercial use of plant growth-promoting bacteria in
agriculture, horticulture, and silviculture. However, with recent progress toward understanding …
agriculture, horticulture, and silviculture. However, with recent progress toward understanding …
[HTML][HTML] Bone tissue engineering in the treatment of bone defects
…, R Jiang, H Huang, X Pan, W Min, J Chen, JA Duan… - Pharmaceuticals, 2022 - mdpi.com
Bones play an important role in maintaining exercise and protecting organs. Bone defect, as
a common orthopedic disease in clinics, can cause tremendous damage with long …
a common orthopedic disease in clinics, can cause tremendous damage with long …
Maximum likelihood estimation using price data of the derivative contract
JC Duan - Mathematical Finance, 1994 - Wiley Online Library
This article develops a general methodology that uses the observed prices of a derivative
contract to compute maximum likelihood parameter estimates for an unobserved asset value …
contract to compute maximum likelihood parameter estimates for an unobserved asset value …
Augmented GARCH (p, q) process and its diffusion limit
JC Duan - Journal of Econometrics, 1997 - Elsevier
A family of parametric GARCH models, defined in terms of an auxiliary process and referred
to as the augmented GARCH process, is proposed. The strict stationarity of the augmented …
to as the augmented GARCH process, is proposed. The strict stationarity of the augmented …
Multiperiod corporate default prediction—A forward intensity approach
A forward intensity model for the prediction of corporate defaults over different future periods
is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of …
is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of …
Estimating and testing exponential-affine term structure models by Kalman filter
JC Duan, JG Simonato - Review of quantitative finance and accounting, 1999 - Springer
This paper proposes a unified state-space formulation for parameter estimation of
exponential-affine term structure models. The proposed method uses an approximate linear Kalman …
exponential-affine term structure models. The proposed method uses an approximate linear Kalman …
An overview of tourism risk perception
F Cui, Y Liu, Y Chang, J Duan, J Li - Natural Hazards, 2016 - Springer
In recent years, people pay more and more attention to travel safety and travel risks. Tourism
risk perception is a quantitative assessment of tourism security. Destination risk perception …
risk perception is a quantitative assessment of tourism security. Destination risk perception …
A novel artificial intelligence technique to predict compressive strength of recycled aggregate concrete using ICA-XGBoost model
J Duan, PG Asteris, H Nguyen, XN Bui… - Engineering with …, 2021 - Springer
Recycled aggregate concrete is used as an alternative material in construction engineering,
aiming to environmental protection and sustainable development. However, the …
aiming to environmental protection and sustainable development. However, the …