Table 1

Comparison of the models with italicized best values

ParameterBlack–Scholes modelLognormal jumpsConstant negative jumps
Barrier B0.970.970.79
Correlation0.870.860.87
Optimal Strike K*1.021.031.18
Optimal Quantity a*8.296.851.53
UEL−0.77−0.78−0.77
UEL after hedging−0.61−0.64−0.46
Difference in UEL0.160.140.31

Source(s): The table is provided by the author

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