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

Jun Yu; Zhenlin Yang; Xibin Zhang

doi:10.1016/j.csda.2006.08.024

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

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2006.08.024 ◽

2006 ◽

Vol 51 (4) ◽

pp. 2218-2231 ◽

Cited By ~ 27

Author(s):

Jun Yu ◽

Zhenlin Yang ◽

Xibin Zhang

Keyword(s):

Stochastic Volatility ◽

Currency Options ◽

Stochastic Volatility Models ◽

Volatility Models

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Support Vector Regression Model of Currency Options Pricing with Stochastic Volatility Models and Forward Exchange Rate

2009 Fifth International Joint Conference on INC, IMS and IDC ◽

10.1109/ncm.2009.328 ◽

2009 ◽

Author(s):

Ping Wang ◽

YunCheng Huang ◽

YuanSu Wang

Keyword(s):

Exchange Rate ◽

Regression Model ◽

Support Vector Regression ◽

Stochastic Volatility ◽

Options Pricing ◽

Support Vector ◽

Currency Options ◽

Stochastic Volatility Models ◽

Support Vector Regression Model ◽

Volatility Models

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Pricing currency options under two-factor Markov-modulated stochastic volatility models

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2008.05.002 ◽

2008 ◽

Vol 43 (3) ◽

pp. 295-302 ◽

Cited By ~ 37

Author(s):

Tak Kuen Siu ◽

Hailiang Yang ◽

John W. Lau

Keyword(s):

Stochastic Volatility ◽

Currency Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Markov Modulated

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Cited By ~ 6

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Cited By ~ 3

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Cited By ~ 2

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

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Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Cited By ~ 1

Author(s):

Xiuping Mao ◽

Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2720927 ◽

2016 ◽

Author(s):

Joss Da Fonseca

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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