Empirical performance of models for barrier option valuation

DOI10.1080/14697688.2012.723820zbMath1280.91171OpenAlexW2048384967MaRDI QIDQ5746738

Cathrine Jessen, Rolf Poulsen

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://research.cbs.dk/en/publications/3eeacf00-8de8-4664-a45d-e704c30944e9

zbMATH Keywords

empirical studyBlack-Scholesconstant elasticity of variancevariance gammaexchange rate modelsHeston's stochastic volatilitybarrier option valuationMerton's jump-diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Capturing parameter risk with convex risk measures ⋮ Performance of advanced stock price models when it becomes exotic: an empirical study ⋮ Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model ⋮ Hedging Barrier Options in GARCH Models with Transaction Costs ⋮ PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION

Cites Work

• Unnamed Item
• Auto-static for the people: risk-minimizing hedges of barrier options
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Risk minimization in stochastic volatility models: model risk and empirical performance
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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