Generalized Binomial Trees

Publikationstyp: Zeitschriftenartikel
URI (zitierfähiger Link): http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-52913
Autor/innen: Jackwerth, Jens Carsten
Erscheinungsjahr: 1997
Erschienen in: Journal of Derivatives ; 5 (1997), 2. - S. 7-17
DOI (zitierfähiger Link): https://dx.doi.org/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
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JACKWERTH, Jens Carsten, 1997. Generalized Binomial Trees. In: Journal of Derivatives. 5(2), pp. 7-17

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

2011-03-25T09:41:03Z First publ. in: Journal of Derivatives 5 (1997), 2, 7-17 Jackwerth, Jens Carsten Generalized Binomial Trees 2011-03-25T09:41:03Z 1997 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.<br />The generalized binomial trees introduced here can accommodate any kind of related options (European, American, or exotic) with different times-to-expiration. application/pdf deposit-license Jackwerth, Jens Carsten eng

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