The Effect of Model Risk on the Valuation of Barrier Options

The Effect of Model Risk on the Valuation of Barrier Options The payoffs of exotic options e.g., upandout call options are dependent on the timepath 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 upandout call options. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

The Effect of Model Risk on the Valuation of Barrier Options

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1526-5943
DOI
10.1108/eb022961
Publisher site
See Article on Publisher Site

Abstract

The payoffs of exotic options e.g., upandout call options are dependent on the timepath 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 upandout call options.

Journal

The Journal of Risk FinanceEmerald Publishing

Published: Jan 1, 2003

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