This paper carries out a comparative analysis of the calibration and performance of a variety of options pricing models. These include Black and Scholes (J Polit Econ 81:637–659, <CitationRef CitationID="CR6">1973</CitationRef>), the Gram–Charlier (GC) approach of Backus et al. (<CitationRef CitationID="CR4">1997</CitationRef>), the stochastic volatility (HS) model of Heston...</citationref></citationref>

We present a flexible approach for the valuation of interest rate derivatives based on affine processes. We extend the methodology proposed in Keller-Ressel et al. (in press) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We...

Theoretical research on option valuation tends to focus on pricing the plain-vanilla European-style derivatives. Duffie, Pan, and Singleton (Econometrica, 2000) have recently developed a general transform method to determine the value of European options for a broad class of the underlying price...