Table 1 Comparison of the models with... | Emerald Publishing

Table 1

Comparison of the models with italicized best values

Parameter	Black–Scholes model	Lognormal jumps	Constant negative jumps
Barrier B	0.97	0.97	0.79
Correlation	0.87	0.86	0.87
Optimal Strike K*	1.02	1.03	1.18
Optimal Quantity a*	8.29	6.85	1.53
UEL	−0.77	−0.78	−0.77
UEL after hedging	−0.61	−0.64	−0.46
Difference in UEL	0.16	0.14	0.31

Parameter	Black–Scholes model	Lognormal jumps	Constant negative jumps
Barrier B	0.97	0.97	0.79
Correlation	0.87	0.86	0.87
Optimal Strike K*	1.02	1.03	1.18
Optimal Quantity a*	8.29	6.85	1.53
UEL	−0.77	−0.78	−0.77
UEL after hedging	−0.61	−0.64	−0.46
Difference in UEL	0.16	0.14	0.31

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