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Implied binomial trees in Excel without VBA
Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Journal of financial education 32 (2006) 3, pp. 37-54
Persistent link: https://www.econbiz.de/10003961888
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Inferring risk-averse probability distributions from option prices using implied binomial trees
Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011
Persistent link: https://www.econbiz.de/10008988015
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Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees : Additional Theory and Extensions
Arnold, Tom - 2009
Arnold, Crack and Schwartz (ACS) (2010) generalize the Rubinstein (1994) risk-neutral implied binomial tree (R-IBT) model by introducing a risk premium. Their new risk-averse implied binomial tree model (RA-IBT) has both probabilistic and pricing applications. They use the RA-IBT model to...
Persistent link: https://www.econbiz.de/10013159307