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Empirical performance of models for barrier option valuation
2013
Quantitative finance (Print)
In this paper the empirical performance of five different models for barrier option valuation is investigated: the Black-Scholes model, the constant elasticity of variance model, the Heston stochastic volatility model, the Merton jump-diffusion model, and the infinite activity Variance Gamma model. We use time-series data from the USD/EUR exchange rate market: standard put and call (plain vanilla) option prices and a unique set of observed market values of barrier options. The models are
doi:10.1080/14697688.2012.723820
fatcat:ux3wen34hza3bbtxn5hxxdv5ei