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Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models

Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models

We analyze the qualitative differences between prices of double barrier no-touch options in the Heston model and pure jump KoBoL model calibrated to the same set of the empirical data, and discuss the potential for arbitrage opportunities if the correct model is a pure jump model. We explain and demonstrate …