Brogi, Athos (2010): A binomial tree to price European options. Published in: PHD Theses in Statistics and Applications: book of short papers , Vol. 1, No. 1 (February 2010): pp. 111-116.
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Abstract
A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | A binomial tree to price European options |
| Language: | English |
| Keywords: | Arbitrage; martingale; option; risk-neutral; volatility |
| Subjects: | G - Financial Economics > G1 - General Financial Markets C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General |
| Item ID: | 33604 |
| Depositing User: | Athos Brogi |
| Date Deposited: | 28 Sep 2011 17:20 |
| Last Modified: | 04 Oct 2019 23:46 |
| References: | Black F. (1976) Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meetings of the Business and Economics Statistics Section, American Statistical Association, 177-181. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/33604 |
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