Pricing foreign currency options with stochastic volatility
From MaRDI portal
Publication:3374319
Recommendations
- scientific article; zbMATH DE number 5260301
- Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
- Pricing foreign equity option with stochastic volatility
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- The pricing of options on assets with stochastic volatilities
Cited in
(53)- A non random walk theory of exchange rate dynamics with applications to option pricing
- Closing the GARCH gap: Continuous time GARCH modeling
- GMC/GEL estimation of stochastic volatility models
- scientific article; zbMATH DE number 7333662 (Why is no real title available?)
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Inferences in stochastic volatility models: a new simpler way
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Pricing foreign equity option with stochastic volatility
- Modeling and pricing long memory in stock market volatility
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Filtering a nonlinear stochastic volatility model
- A note on the term structure of implied volatilities for the yen/U.S. Dollar currency option
- A continuous-time model for valuing foreign exchange options
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- American option pricing under stochastic volatility: an empirical evaluation
- Lévy processes driven by stochastic volatility
- 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
- On the hedging of options on exploding exchange rates
- Pricing options under stochastic volatility: a power series approach
- GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- Local scale models. State space alternative to integraded GARCH processes
- Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
- The valuation of foreign currency options under stochastic interest rates
- Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
- Extremes of stochastic volatility models
- Quasi-maximum likelihood estimation of stochastic volatility models
- A semi-martingale representation for a semi-Markov chain with application to finance
- Regime switching in foreign exchange rates: Evidence from currency option prices
- Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
- The leverage effect puzzle: the case of European sovereign credit default swap market
- Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market
- A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
- Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
- 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
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Currency option pricing with Wishart process
- An uncertain currency model with floating interest rates
- Comparison results for stochastic volatility models via coupling
- Index-option pricing with stochastic volatility and the value of accurate variance forecasts
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- Valuation of FX barrier options under stochastic volatility
- Parametric and nonparametric models and methods in financial econometrics
- Determinants of S\&P 500 index option returns
- Testing for white noise against locally stationary alternatives
- scientific article; zbMATH DE number 5260301 (Why is no real title available?)
- 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
This page was built for publication: Pricing foreign currency options with stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3374319)
