Keywords
Stochastic volatilityCurrencyEconomicsVolatility (finance)Implied volatilityEconometricsForeign exchange marketVolatility smileValuation of optionsForeign exchangeFinancial economicsExchange rateSABR volatility modelMonetary economics
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Publication Info
- Year
- 1990
- Type
- article
- Volume
- 45
- Issue
- 1-2
- Pages
- 239-265
- Citations
- 760
- Access
- Closed
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Cite This
Angelo Melino,
Stuart M. Turnbull
(1990).
Pricing foreign currency options with stochastic volatility.
Journal of Econometrics
, 45
(1-2)
, 239-265.
https://doi.org/10.1016/0304-4076(90)90100-8
Identifiers
- DOI
- 10.1016/0304-4076(90)90100-8