Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known … and
Scholes (BS) models assumptions, especially on the BS implied volatility. Implied bi-
nomial trees (IBT) models … capture the variations of the implied volatility known as
\volatility smile". They provide a discrete approximation to the …