Search results
1 – 1 of 1
Article
Publication date: 1 January 2003
ALI HIRSA, GEORGES COURTADON and DILIP B. MADAN
The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time. The…
289
Abstract
The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path 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 up‐and‐out call options.
1 – 1 of 1