Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/13319
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dc.contributor.authorVirmani, Vineet
dc.date.accessioned2015-04-22T12:06:09Z
dc.date.available2015-04-22T12:06:09Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/11718/13319
dc.description.abstractModel selection and model uncertainty go hand-in-hand. However, while there is uncertainty associated with the selection of any model, the context is paramount. This study is an illustration of issues surrounding model risk when pricing products whose payoff depends crucially on forward volatility. In particular, we try and quantify model risk associated with pricing of cliquet options using stochastic volatility models.en_US
dc.language.isoenen_US
dc.publisherIndian Institute of Management, Ahmedabaden_US
dc.relation.ispartofseriesWP;2403
dc.subjectModel selectionen_US
dc.subjectIllustrationen_US
dc.subjectVolatility modelsen_US
dc.titleModel risk in pricing path-dependent derivatives: an illustrationen_US
dc.typeWorking Paperen_US
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