Model risk in the over-the-counter market

نویسندگان

چکیده

We propose a methodology to measure the parameter estimation risk and model specification of pricing models, as well selection classes, based on realized payoffs, for products in over-the-counter market. Lévy jump models affine jump-diffusion are applied estimating fair variance strikes swaps forward starting option prices. Our results show that both significant swaps, while is dominant when options. also find size substantial products.

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ژورنال

عنوان ژورنال: European Journal of Operational Research

سال: 2022

ISSN: ['1872-6860', '0377-2217']

DOI: https://doi.org/10.1016/j.ejor.2021.07.021