Search Results - subject:"Implied tree models"

Local volatility and the recovery rate of credit default swaps

Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974230

Härdle, Wolfgang Karl; Myšičková, Alena - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, 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...

Persistent link: https://www.econbiz.de/10010275907

Numerics of Implied Binomial Trees

Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

smaller deviations in case of high interest rate, particularly. Keywords: Implied Tree Models; Implied Volatility; Local ….Y. (2006). An empirical comparison of implied tree models for KOSPI 200 index options, International Review of Economics and …

Persistent link: https://www.econbiz.de/10005677880