A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model

By John C. Hull, W. Suo. Journal of Financial and Quantitative Analysis, 2002

122 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “Hull and Suo (2002) fitted a continually recalibrated deterministic volatility model to simulated European option prices written on a stochastic volatility process. They found that deterministic volatility models are better at pricing and hedging compound options than certain barrier options. Ledoit”
Model risk and capital reserves (2010, background): “Hull and Suo (2002) quantify model risk by comparing the pricing and hedging”
Value–at–Risk Models (2009, unknown): “Hull and Suo (2002) suggest a method to assess model risk.”
Delta-hedging vega risk? (2004, methodology): “These results illustrate the model risk inherent to barrier options [41].”