A binomial tree to price European options
AbstractA 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 33604.
Date of creation: Feb 2010
Date of revision: Aug 2011
Publication status: Published in PHD Theses in Statistics and Applications: book of short papers 1.1(2010): pp. 111-116
Arbitrage; martingale; option; risk-neutral; volatility;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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