衍生品定价:模型风险及其影响

[1] Calibration and hedging under jump diffusion[J] . C. He,J. S. Kennedy,T. F. Coleman,P. A. Forsyth,Y. Li,K. R. Vetzal.Review of Derivatives Research . 2007 (1)

[2] A methodology for assessing model risk and its application to the implied volatility function model [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2002, 37 (02) : 297 - 318

[3] Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market[J] . Francis A Longstaff,Pedro Santa-Clara,Eduardo S Schwartz.Journal of Financial Economics . 2001 (1)

[1] Calibration and hedging under jump diffusion[J] . C. He,J. S. Kennedy,T. F. Coleman,P. A. Forsyth,Y. Li,K. R. Vetzal.Review of Derivatives Research . 2007 (1)

[2] A methodology for assessing model risk and its application to the implied volatility function model [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2002, 37 (02) : 297 - 318

[3] Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market[J] . Francis A Longstaff,Pedro Santa-Clara,Eduardo S Schwartz.Journal of Financial Economics . 2001 (1)