Search Results - subject:"Binomial tree"

Finanzderivate mit MATLAB® : mathematische Modellierung und numerische Simulation

Günther, Michael; Jüngel, Ansgar - 2010 - 2., überarb. und erw. Aufl.

Persistent link: https://www.econbiz.de/10003909742

Call an Put Implied Volatilities and the Derivation of Option Implied Trees

V. Moriggia, S. Muzzioli, C. Torricelli - In: Frontiers in Finance and Economics 4 (2007) 1, pp. 35-64

Persistent link: https://www.econbiz.de/10004998307

Binomial models in finance : with 25 tables

Van der Hoek, John; Elliott, Robert J. - 2006

Persistent link: https://www.econbiz.de/10004835647

Pricing Geometric Asian Options under the CEV Process

Peng, Bin - In: International Economic Journal 20 (2006) 4, pp. 515-522

of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price geometric … Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems …

Persistent link: https://www.econbiz.de/10009224482

Binomial models in finance : with 25 tables

Hoek, John van der; Elliott, Robert J. - 2006

Persistent link: https://www.econbiz.de/10002734174

Doubly-Binomial Option Pricing with Application to Insurance Derivatives

Chang, Carolyn W.; Chang, Jack S. K. - In: Review of Pacific Basin Financial Markets and Policies … 08 (2005) 03, pp. 501-523

binomial tree that now grows with the intensity of information arrival irrespective of the passage of calendar-time. We apply …

Persistent link: https://www.econbiz.de/10005050756

The no arbitrage condition in option implied trees: evidence from the Italian index options market

Moriggia, V.; Muzzioli, S.; Torricelli, C. - Dipartimento di Economia "Marco Biagi", Università … - 2005

A major issue in the construction of implied trees is the no arbitrage property preservation. Within the literature on deterministic smile-consistent trees using forward induction, two major contributions are: Derman and Kani (1994) and Barle and Cakici (1998). The former proposes a methodology...

Persistent link: https://www.econbiz.de/10008517820

Finanzderivate mit MATLAB : mathematische Modellierung und numerische Simulation

Günther, Michael; Jüngel, Ansgar - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10004801738

Finanzderivate mit MATLAB : mathematische Modellierung und numerische Simulation

Günther, Michael; Jüngel, Ansgar - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001768648

Seize the Moments: Approximating American Option Prices in the GARCH Framework

Duan, Jin-Chuan; Gauthier, Genevieve; Sasseville, Caroline - EconWPA - 2002

developed in Duan et al. (1999, 2002) to yield a simple recombining binomial tree for option valuation in the GARCH context …

Persistent link: https://www.econbiz.de/10005413074