A binomial tree to price European options
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.
|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|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
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