Generalized Binomial Trees
We consider the problem of consistently pricing new options given the prices of related options on the same stock. The Black-Scholes formula and standard binomial trees can only accommodate one related European option which then effectively specifies the volatility parameter. Implied binomial trees can accommodate only related European options with the same time-to-expiration.The generalized binomial trees introduced here can accommodate any kind of related options (European, American, or exotic) with different times-to-expiration.
Year of publication: |
1997
|
---|---|
Authors: | Jackwerth, Jens Carsten |
Publisher: |
Universität Konstanz / Fachbereich Wirtschaftswissenschaften. Fachbereich Wirtschaftswissenschaften |
Saved in:
freely available
Saved in favorites
Similar items by person
-
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory
Brown, David P., (2004)
-
Recovering Stochastic Processes from Option Prices
Jackwerth, Jens Carsten, (2001)
-
Incentive Contracts and Hedge Fund Management
Jackwerth, Jens Carsten, (2007)
- More ...