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A class of nonlinear stochastic volatility models and its implications for pricing currency options
16 references·6 citing·34 second hop
A class of nonlinear stochastic volatility models and its implications for pricing currency options (2006)A class of nonlinear stochastic volatilit…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Modelling Financial Time Series (2007)Modelling Financial Time Seri…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions (2015)Box–Cox realized asymmetric s…Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option (2015)Actuarial approach in a mixed…On the use of non-linear transformations in Stochastic Volatility models (2009)On the use of non-linear tran…Implied volatility in oil markets (2008)Implied volatility in oil mar…Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (2007)Modelling long-memory volatil…Box-Cox stochastic volatility models with heavy-tails and correlated errors (2007)Box-Cox stochastic volatility…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Optimum consumption and portfolio rules in a continuous-time model (1971)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)An equilibrium characterization of the term structure (1977)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Expected stock returns and volatility (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1994

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Multivariate Stochastic Variance Models
1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • Cited by

    • 2007Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH45 cited
    • 2007Box-Cox stochastic volatility models with heavy-tails and correlated errors34 cited
    • 2015Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option27 cited
    • 2015Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions23 cited
    • 2008Implied volatility in oil markets23 cited
    • 2009On the use of non-linear transformations in Stochastic Volatility models22 cited