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~institution:"Department of Econometrics and Business Statistics, Monash Business School"
~person:"Allen, David E."
~person:"Herwartz, Helmut"
~person:"Spagnolo, Nicola"
~person:"Yu, Jun"
~source:"repec"
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Allen, David E.
Herwartz, Helmut
Spagnolo, Nicola
Yu, Jun
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A Class of Nonlinear Stochastic
Volatility
Models and Its Implications on Pricing Currency Options
Yu, Jun
;
Yang, Zhenlin
;
Zhang, Xibin
-
Department of Econometrics and Business Statistics, …
-
2002
This paper proposes a class of stochastic
volatility
(SV) models which offers an alternative to the one introduced in …
Persistent link: https://www.econbiz.de/10005149106
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