Generalized Binomial Trees

Jackwerth, Jens

Generalized Binomial Trees

Dateien

Generalized_Binomial_Trees.pdfGröße: 81.88 KBDownloads: 398

Datum

1997

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Journal of Derivatives. 1997, 5(2), pp. 7-17. Available under: doi: 10.3905/jod.1997.407989

Zusammenfassung

We consider the problem of consistently pricing new options given the prices of related options on the same stock. The Black-Scholes formula and standard binomial trees can only accommodate one related European option which then effectively specifies the volatility parameter. Implied binomial trees can accommodate only related European options with the same time-to-expiration.
The generalized binomial trees introduced here can accommodate any kind of related options (European, American, or exotic) with different times-to-expiration.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

JACKWERTH, Jens, 1997. Generalized Binomial Trees. In: Journal of Derivatives. 1997, 5(2), pp. 7-17. Available under: doi: 10.3905/jod.1997.407989

BibTex

@article{Jackwerth1997Gener-11913,
  year={1997},
  doi={10.3905/jod.1997.407989},
  title={Generalized Binomial Trees},
  number={2},
  volume={5},
  journal={Journal of Derivatives},
  pages={7--17},
  author={Jackwerth, Jens}
}

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