The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Pricing foreign currency options with stochastic volatility
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Empirical Performance of Alternative Option Pricing Models
Bakshi, G., Cao, C., & Chen, Z. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02749.x · Cited by 2,707
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Gallant, A. R., & Tauchen, G. (1996) · Econometric Theory · doi:10.1017/s0266466600006976 · Cited by 988
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
BATES, D. S. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb03775.x · Cited by 874
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Metadata
- Authors
- Melino, A., & Turnbull, S. M.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1990-07
- Volume
- 45
- Issue
- 1-2
- Pages
- 239-265
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1985500221
- Cited by
- 748
- References
- 1
- FWCI
- 16.68
- Type
- journal article
- Language
- en
- Open access
- closed
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
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- CoChat. (2026). Citation check: Pricing foreign currency options with stochastic volatility. https://app.cochat.ai/papers/10.1016/0304-4076(90)90100-8
- The paper
- Melino, A., & Turnbull, S. M. (1990). Pricing foreign currency options with stochastic volatility. Journal of Econometrics. https://doi.org/10.1016/0304-4076(90)90100-8
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
