A class of nonlinear stochastic volatility models and its implications for pricing currency options

DOI10.1016/j.csda.2006.08.024zbMath1157.62527OpenAlexW2140280737MaRDI QIDQ1010566

Xibin Zhang, Zhenlin Yang, Jun Yu

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2002/wp17-02.pdf

zbMATH Keywords

option pricingGARCHvolatilityBox-Cox transformationMCMC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• BUGS

Cites Work

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