Moriggia, V.; Muzzioli, S.; Torricelli, C. - Dipartimento di Economia "Marco Biagi", Università … - 2003
Standard methodologies for the derivation of implied trees from option prices are based on the validity of the put-call parity. Muzzioli and Torricelli (2002) propose a methodology which accounts for PCP violations. Based on this latter approach the present paper advances in two main directions....