Munich Personal RePEc Archive

A binomial tree to price European options

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.

This is the latest version of this item.

[thumbnail of MPRA_paper_55681.pdf]

Download (254kB) | Preview


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 and a simulation is carried out showing that the distribution of prices simulated along the tree is skewed and leptokurtic.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.