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Implied Binomial Trees: Generalizations and Empirical Tests

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Jens Carsten Jackwerth.

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Paper provided by University of California at Berkeley in its series Research Program in Finance Working Papers with number RPF-262.

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Date of creation: 01 Jun 1996
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Handle: RePEc:ucb:calbrf:rpf-262

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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  1. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July. [Downloadable!] (restricted)
  2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September. [Downloadable!] (restricted)
  3. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October. [Downloadable!] (restricted)
  4. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley. [Downloadable!]
  5. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA. [Downloadable!]
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  2. Marco Avellaneda, Craig Friedman, Richard Holmes, Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(1), pages 37-64, March. [Downloadable!] (restricted)
  3. Gabriele Fiorentini & Angel León & Gonzalo Rubio, . "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA. [Downloadable!]
    Other versions:
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