Option-Implied Risk-Neutral Distributions and Implied Binomial Trees
β Scribed by Jackwerth, Jens Carsten
- Book ID
- 124094085
- Publisher
- Institutional Investor
- Year
- 1999
- Tongue
- English
- Weight
- 187 KB
- Volume
- 7
- Category
- Article
- ISSN
- 1074-1240
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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
## Abstract A real option on a commodity is valued using an implied binomial tree (IBT) calibrated using commodity futures options prices. Estimating an IBT in the absence of spot options (the norm for commodities) allows real option models to be calibrated for the first time to marketβimplied prob