مرکز منطقه ای اطلاع رساني علوم و فناوري - A class of nonlinear stochastic volatility models and its implications for pricing currency options

Title of article :

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

Author/Authors :

Jun Yu، نويسنده , , Zhenlin Yang، نويسنده , , Xibin Zhang، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2218

To page :

2231

Keywords :

Box–Cox transformation , GARCH , MCMC , Volatility , option pricing

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2006

Journal title :

Computational Statistics and Data Analysis

Record number :

308153

Link To Document :