The Effect of Model Risk on the Valuation of Barrier Options
The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time. The authors of this article compare various models for calibrating volatility surfaces in order to price up‐and‐out call options.
Year of publication: |
2003
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Authors: | HIRSA, ALI ; COURTADON, GEORGES ; MADAN, DILIP B. |
Published in: |
The Journal of Risk Finance. - MCB UP Ltd, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 4.2003, 2, p. 47-55
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Publisher: |
MCB UP Ltd |
Saved in:
Online Resource
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