A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options
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- Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
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More about this item
Keywords
Box-Cox transformations; Stochastic volatility; MCMC; Exchange rate volatility; Option pricing.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2002-12-02 (Corporate Finance)
- NEP-ECM-2002-12-10 (Econometrics)
- NEP-ETS-2002-12-02 (Econometric Time Series)
- NEP-FMK-2002-12-02 (Financial Markets)
- NEP-IFN-2002-12-02 (International Finance)
- NEP-RMG-2002-12-02 (Risk Management)
Statistics
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