Mozumder, Sharif; Sorwar, Ghulam; Dowd, Kevin - In: Review of Quantitative Finance and Accounting 40 (2013) 2, pp. 273-292
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>
