Generalized Binomial Trees
AbstractWe consider the problem of consistently pricing new options given the prices of related options on the same stock. The Black-Scholes formula and standard binomial trees can only accommodate one related European option which then effectively specifies the volatility parameter. Implied binomial trees can accommodate only related European options with the same time-to-expiration. The generalized binomial trees introduced here can accommodate any kind of related options (European, American, or exotic) with different times-to-expiration.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11635.
Date of creation: 19 Aug 1996
Date of revision: 12 May 1997
Generalized; Binomial; Tree; Trees;
Other versions of this item:
- Jens Carsten Jackwerth, 1998. "Generalized Binomial Trees," Finance, EconWPA 9803004, EconWPA.
- Jens Carsten Jackwerth., 1996. "Generalized Binomial Trees," Research Program in Finance Working Papers, University of California at Berkeley RPF-264, University of California at Berkeley.
- G19 - Financial Economics - - General Financial Markets - - - Other
- G0 - Financial Economics - - General
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- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers, University of California at Berkeley RPF-232, University of California at Berkeley.
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- Jackwerth, Jens Carsten & Rubinstein, Mark, 2003. "Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns," MPRA Paper 11638, University Library of Munich, Germany, revised 2004.
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- Kim, In Joon & Park, Gun Youb, 2006. "An empirical comparison of implied tree models for KOSPI 200 index options," International Review of Economics & Finance, Elsevier, Elsevier, vol. 15(1), pages 52-71.
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"A volatilitás előrejelzése és a visszaszámított modellek
[Forecasting of volatility and implied models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 519-542.
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