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A binomial tree to price European options


  • Brogi, Athos


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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    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


    Arbitrage; martingale; option; risk-neutral; volatility;

    JEL classification:

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


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