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

• المؤلفون الرئيسيون: YU, Jun, YANG, Zhenlin, ZHANG, Xibin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2006
• الموضوعات: Box-Cox transformation; GARCH; MCMC; Volatility; Option pricing; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/197; https://doi.org/10.1016/j.csda.2006.08.024

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...