Call and put implied volatilities and the derivation of option implied trees
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- V. Moriggia, S. Muzzioli, C. Torricelli, 2007. "Call an Put Implied Volatilities and the Derivation of Option Implied Trees," Frontiers in Finance and Economics, SKEMA Business School, vol. 4(1), pages 35-64, June.
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KeywordsBinomial Method; Put-Call Parity; Choquet Pricing; Interval Tree.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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