A methodology for assessing model risk and its application to the implied volatility function model

Journal of Financial and Quantitative Analysis

Volumn 37, Issue 2, 2002, Pages 297-318

  Hull, John ^a   Suo, Wulin ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035998717     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/3595007     Document Type: Article

References (35)

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5. The pricing of options and corporate liabilities
6. Options: A Monte Carlo approach
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8. A continuity correction for discrete barrier options
9. The price of a smile: Hedging and spanning in options markets
10. Model risk
11. The volatility smile and its implied tree
12. Implied volatility functions: Empirical tests
13. Pricing with a smile
14. The valuation of compound options
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17. A closed-form solution for options with stochastic volatility applications to bond and currency options
18. The pricing of options with stochastic volatility
19. An analysis of the bias in option pricing caused by a stochastic volatility
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21. Recovering probability distributions from option prices
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25. Option pricing when underlying returns are discontinuous
26. Implied volatility functions: A reprise
27. Implied binomial trees
28. Stock price distributions with stochastic volatility: An Analytical Approach