A class of nonlinear stochastic volatility models and its implications for pricing currency options
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Publication:1010566
DOI10.1016/j.csda.2006.08.024zbMath1157.62527OpenAlexW2140280737MaRDI QIDQ1010566
Xibin Zhang, Zhenlin Yang, Jun Yu
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2002/wp17-02.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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