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

Article Abstract:

The Generalized Autoregressive Conditional Heteroskedasticity approach was used to investigate how well the Hang Seng Index of Hongkong priced options contracts.

Hong Kong, Stock Options, Statistical Data Included, Investigations, Executive compensation, Hang Seng Index (Index)

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Executive stock options and incentive effects due to systematic risk

Article Abstract:

Using a GARCH option-pricing framework, the incentive effects of executive stock options are analyzed vis-a-vis the systematic risk therein.

Commercial Banks, Commodity & service prices, Management dynamics, Executive changes & profiles, Securities issued, listed, Venture Analysis, Banking industry, Management, Risk assessment, Officials and employees, Securities, Company business management, Company securities, Employee stock options, Company pricing policy

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Capital standard, forbearance and deposit insurance pricing under GARCH

Article Abstract:

A multiperiod model on insurance pricing was developed to assess the impact of capital standard on forbearance. The proposed framework, which makes use of the GARCH pricing technique, has been proven to be effective in analysing financial asset returns. Compared to conventional insurance pricing schemes, the model is capable of accounting for the implementation of capital standard regulations which are embodied in the FDIC Improvement Act of 1991.

Economics, Research and Development in the Social Sciences and Humanities, Models, Analysis, Options (Finance), Pricing, Deposit insurance

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