A class of nonlinear stochastic volatility models and its implications for pricing currency options
type: Item
instance of: scholarly article
title: A class of nonlinear stochastic volatility models and its implications for pricing currency options
zbMATH Open document ID: 1157.62527
author: Jun Yu
author: Zhenlin Yang
author: Xibin Zhang
published in: Computational Statistics and Data Analysis
publication date: 2009-04-06T00:00:00Z
full work available at URL: wp17-02.pdf
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5540555
zbMATH Keywords: Box-Cox transformation
zbMATH Keywords: GARCH
zbMATH Keywords: MCMC
zbMATH Keywords: volatility
zbMATH Keywords: option pricing
describes a project that uses: BUGS
MaRDI profile type: Publication
OpenAlex ID: W2140280737
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DOI: 10.1016/J.CSDA.2006.08.024
description: scientific article; zbMATH DE number 5540555