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A binomial tree to price European options

Author

Listed:
  • Brogi, Athos

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.

Suggested Citation

  • Brogi, Athos, 2010. "A binomial tree to price European options," MPRA Paper 33604, University Library of Munich, Germany, revised Aug 2011.
  • Handle: RePEc:pra:mprapa:33604
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    File URL: https://mpra.ub.uni-muenchen.de/33604/1/MPRA_paper_33604.pdf
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    File URL: https://mpra.ub.uni-muenchen.de/40697/1/MPRA_paper_40697.pdf
    File Function: revised version
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    File URL: https://mpra.ub.uni-muenchen.de/55681/1/MPRA_paper_55681.pdf
    File Function: revised version
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    Citations

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    Cited by:

    1. Brogi, Athos, 2016. "A Binomial Tree to Price European and American Options," MPRA Paper 74962, University Library of Munich, Germany.

    More about this item

    Keywords

    Arbitrage; martingale; option; risk-neutral; volatility;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

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