, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …

For nonzero but small values of correlation a method is given to de-correlate the instantaneous volatility from the … price process in stochastic volatility models. Once the skew has been symmetrized in this manner, it is possible to imply … moments of realized volatility from the index option prices in this de-correlated setting. The implied moments can …