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Year of publication
Subject
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Binomial Method 1 Choquet Pricing 1 Interval Tree 1 Put-Call Parity 1 implied binomial tree 1 interval tree 1 smile effect 1
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Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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Moriggia, V. 1 Muzzioli, S. 1 Torricelli, C. 1 V. Moriggia, S. Muzzioli, C. Torricelli 1
Institution
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 1
Published in...
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Department of Economics / Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 1 Frontiers in Finance and Economics 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
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
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Cover Image
Call and put implied volatilities and the derivation of option implied trees
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....
Persistent link: https://www.econbiz.de/10008517829
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