Model risk and model choice in the case of barrier options and bonus certificates
Rainer Baule, David Shkel
| Year of publication: |
2021
|
|---|---|
| Authors: | Baule, Rainer ; Shkel, David Sebastian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 133.2021, p. 1-13
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| Subject: | Barrier options | Bates model | Bonus certificates | Empirical finance | Heston model | Local volatility | Model risk | Retail derivatives | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model | Risikomanagement | Risk management | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106307 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256692