Publikation:

Generalized Binomial Trees

Lade...
Vorschaubild

Dateien

Generalized_Binomial_Trees.pdf
Generalized_Binomial_Trees.pdfGröße: 81.88 KBDownloads: 415

Datum

1997

Autor:innen

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690JACKWERTH, 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}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/11913">
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:03Z</dc:date>
    <dcterms:abstract xml:lang="eng">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.&lt;br /&gt;The generalized binomial trees introduced here can accommodate any kind of related options (European, American, or exotic) with different times-to-expiration.</dcterms:abstract>
    <dc:language>eng</dc:language>
    <dcterms:bibliographicCitation>First publ. in: Journal of Derivatives 5 (1997), 2, 7-17</dcterms:bibliographicCitation>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:issued>1997</dcterms:issued>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11913/1/Generalized_Binomial_Trees.pdf"/>
    <dc:format>application/pdf</dc:format>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dcterms:title>Generalized Binomial Trees</dcterms:title>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/11913"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11913/1/Generalized_Binomial_Trees.pdf"/>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dc:creator>Jackwerth, Jens</dc:creator>
    <dc:contributor>Jackwerth, Jens</dc:contributor>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:03Z</dcterms:available>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Diese Publikation teilen