A class of nonlinear stochastic volatility models and its implications for pricing currency options

Jun Yu, Zhenlin Yang, Xibin Zhang. A class of nonlinear stochastic volatility models and its implications for pricing currency options. Computational Statistics & Data Analysis, 51(4):2218-2231, 2006. [doi]

Authors

Jun Yu

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Zhenlin Yang

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Xibin Zhang

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