RE: Comparison of models

Posted by Ravani, Michele on Oct 18, 2002; 12:22am
URL: http://quantlib.414.s1.nabble.com/Comparison-of-models-tp2252p2254.html

Hi

> Of course the model makes a difference in the price.
> However the comparison does not make sense for a single option since you
> can always choose model parameters in different models to get the same
> price for a single option.

I was looking for an indication. Obviously, one should compare using a wide range of products and parameters, but for a 'quick' feeling I would have been happy to see a cross section of models compared keeping all parameters fixed.

> There is a large literature in quantitative finance journals comparing
> various models.

Do you have any pointers handy?

Thanks
 Michele


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