Pricing foreign currency options with stochastic volatility
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Publication:3374319
zbMATH Open1126.91374MaRDI QIDQ3374319FDOQ3374319
Authors: Angelo Melino, Stuart M. Turnbull 
Publication date: 9 March 2006
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- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
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- American option pricing under stochastic volatility: an empirical evaluation
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- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Stochastic volatility in mean models with heavy-tailed distributions
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- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
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- Local scale models. State space alternative to integraded GARCH processes
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- Rare shock, two-factor stochastic volatility and currency option pricing
- Some applications of nonlinear and non-Gaussian state-space modelling by means of hidden Markov models
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- Comparison results for stochastic volatility models via coupling
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- Index-option pricing with stochastic volatility and the value of accurate variance forecasts
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
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- Testing for white noise against locally stationary alternatives
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- Parametric and nonparametric models and methods in financial econometrics
- Determinants of S\&P 500 index option returns
- ARCH modeling in finance. A review of the theory and empirical evidence
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- A non random walk theory of exchange rate dynamics with applications to option pricing
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