Yor, Marc; Madan, Dilip B.; Carr, Peter; Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2007
empirically investigated. We show that all six models are capable of adequately synthesizing European option prices across the … two of these models. Currently, there are several option pricing models with 610 free parameters that deliver a comparable … level of performance in synthesizing option prices. The dimension reduction attained here should prove useful in studying …