Empirical performance of models for barrier option valuation (Q5746738)
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scientific article; zbMATH DE number 6256456
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical performance of models for barrier option valuation |
scientific article; zbMATH DE number 6256456 |
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Empirical performance of models for barrier option valuation (English)
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8 February 2014
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empirical study
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exchange rate models
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Black-Scholes
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constant elasticity of variance
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Heston's stochastic volatility
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Merton's jump-diffusion
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variance gamma
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barrier option valuation
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