𝔖 Bobbio Scriptorium
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Constructing Binomial Trees From Multiple Implied Probability Distributions

✍ Scribed by Brown, Gregory; Toft, Klaus Bjerre

Book ID
121226781
Publisher
Institutional Investor
Year
1999
Tongue
English
Weight
219 KB
Volume
7
Category
Article
ISSN
1074-1240

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Canonical distribution, implied binomial
Canonical distribution, implied binomial tree, and the pricing of American options
✍ Qiang Liu; Shuxin Guo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 123 KB

In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian