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Empirical performance of models for barrier option valuation

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  • Cathrine Jessen
  • Rolf Poulsen

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  • Cathrine Jessen & Rolf Poulsen, 2013. "Empirical performance of models for barrier option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 1-11, December.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:1:p:1-11
    DOI: 10.1080/14697688.2012.723820
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    References listed on IDEAS

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    1. Alexander Lipton, 2001. "Mathematical Methods for Foreign Exchange:A Financial Engineer's Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4694, February.
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    Cited by:

    1. Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
    2. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & José Carlos Dias, 2019. "Pricing Double Barrier Options On Homogeneous Diffusions: A Neumann Series Of Bessel Functions Representation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-24, September.
    3. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
    4. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
    5. Gero Junike & Wim Schoutens & Hauke Stier, 2022. "Performance of advanced stock price models when it becomes exotic: an empirical study," Annals of Finance, Springer, vol. 18(1), pages 109-119, March.
    6. Baule, Rainer & Shkel, David, 2021. "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, vol. 133(C).

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