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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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|
|Keywords:||Arbitrage; martingale; option; risk-neutral; volatility|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General
|Depositing User:||Athos Brogi|
|Date Deposited:||16 Aug 2012 12:27|
|Last Modified:||26 Mar 2017 00:41|
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.
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A binomial tree to price European options. (deposited 28 Sep 2011 17:20)
- A binomial tree to price European options. (deposited 16 Aug 2012 12:27) [Currently Displayed]