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| Author: | Hull, J. Suo, W. |
| Title: | A methodology for assessing model risk and its application to the implied volatility function model |
| Journal: | Journal of Financial and Quantitative Analysis
2002 : JUN, VOL. 37:2, p. 297-318 |
| Index terms: | Options Option prices Volatility |
| Language: | eng |
| Abstract: | The authors propose a methodology for assessing model risk and apply it to the implied volatility function model. They find little evidence of model risk when the IVF model is used to price and hedge compound options. However, there is significant model risk when it is used to price and hedge some barrier options. |
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