Questions tagged [model-risk]

Model Risk is the risk of a financial model, used to measure quantitative information, failing to estimate the true value adequately.

Filter by
Sorted by
Tagged with
5 votes
1 answer

evaluation of option pricing models based on Greeks empirical hedging effectiveness

I’ve studied many different pricing models (B&S, Vasicek, CIR, Merton jump, Heston, ecc), each of them gives as output a different price and different values for the Greeks. So, for example, if ...
luca dibo's user avatar