Generalized Binomial Trees

Type of Publication: Journal article
URI (citable link): http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-52913
Author: Jackwerth, Jens Carsten
Year of publication: 1997
Published in: Journal of Derivatives ; 5 (1997), 2. - pp. 7-17
DOI (citable link): https://dx.doi.org/10.3905/jod.1997.407989
Summary:
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.
Subject (DDC): 330 Economics
Link to License: Attribution-NonCommercial-NoDerivs 2.0 Generic

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

@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 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. 1997 application/pdf Jackwerth, Jens Carsten eng Attribution-NonCommercial-NoDerivs 2.0 Generic

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