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.

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Year of publication:	2003
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
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb022961 [DOI]
Source:	Other ZBW resources

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