LINARAS, CHARILAOS E.; SKIADOPOULOS, GEORGE - In: International Journal of Theoretical and Applied … 08 (2005) 08, pp. 1085-1106
This paper examines the pricing performance of various discrete-time option models that accept the variation of implied volatilities with respect to the strike price and the time-to-maturity of the option (implied volatility tree models). To this end, data from the S&P 100 options are employed...