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

A class of stochastic volatility (SV) models is proposed by applying the Box–Cox transformation to the volatility equation. This class of nonlinear SV (N-SV) models encompasses all standard SV models, including the well-known lognormal (LN) SV model. It allows to empirically compare and test all sta...

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Bibliographic Details
Main Authors: YU, Jun, YANG, Zhenlin, ZHANG, Xibin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/197
https://doi.org/10.1016/j.csda.2006.08.024
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Institution: Singapore Management University
Language: English