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Generalized Binomial Trees

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Author Info
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-264.

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Date of creation: 01 Sep 1996
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Handle: RePEc:ucb:calbrf:rpf-264

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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. Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, . "Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den," Faculty Working Papers 13/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  2. Marsh, Terry A. & Takao Kobayashi, 1998. ""The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy"," CIRJE F-Series 98-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  3. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  4. Ahmed Loulit, 2004. "Approximating equity volatility," Working Papers CEB 04-028.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  5. 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)
  6. 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. [Downloadable!]
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