Moriggia, V.; Muzzioli, S.; Torricelli, C. - In: European Journal of Operational Research 193 (2009) 1, pp. 212-221
The aim of this paper is to discuss the no-arbitrage condition in option implied trees based on forward induction and to propose a no-arbitrage test that rules out the negative probabilities problem and hence enhances the pricing performance. The no-arbitrage condition takes into account two...
