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Barrier Option Price Violation between the Market-Price and Model-price
I have used Heston Model and Monte-Carlo-Simulation to price the Barrier Options that were traded at EUWAX (down-and-out calls and up-and-out puts with barrier = Strike). And I have found that the violation Model-Price and the Market-Price by at the Money Barrier Options (barrier in the near of S0) are higher than those in the Money and out the money Options. Does anybody have a explanation ?Thanks in advanceJohn