An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options
实证比较了多种期权定价模型在奇异期权（如障碍期权、复合期权）对冲中的表现，发现奇异特征显著影响模型相对表现，且期权越奇异，对冲效果越差。
This paper examines the empirical performance of various option‐pricing models in hedging exotic options, such as barrier options and compound options. A practical and relevant testing approach is adopted to capture the essence of model risk in option pricing and hedging. Our results indicate that the exotic feature of the option under consideration has a great impact on the relative performance of different option‐pricing models. In addition, for any given model, the more “exotic” the option, the poorer the hedging effectiveness.