Calibration Risk for Exotic Options
Year of publication: |
2006-01
|
---|---|
Authors: | Detlefsen, Kai ; Härdle, Wolfgang |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | calibration risk | calibration | model risk | Heston model | Bates model | barrier option | cliquet option |
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