Muzzioli, silvia; Ruggieri, Alessio - Dipartimento di Economia "Marco Biagi", Università … - 2013
Implied trees are simple non-parametric discretizations of one- or two-dimension diffusions, aimed at introducing non … implied trees in pricing European options. Second, we compare the implied moments obtained with the use of option implied … trees with the risk–neutral moments obtained with the use of Bakshi et al. (2003) formula and with realised physical moments …