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.

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Year of publication:	2010-02
Authors:	Brogi, Athos
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Arbitrage \| martingale \| option \| risk-neutral \| volatility

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in PHD Theses in Statistics and Applications: book of short papers 1.1(2010): pp. 111-116
Classification:	G1 - General Financial Markets ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009323641