✦ LIBER ✦

Pricing options on scenario trees

✍ Scribed by Nikolas Topaloglou; Hercules Vladimirou; Stavros A. Zenios

Book ID: 116614990
Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 262 KB
Volume: 32
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2007.03.010

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Pricing options using implied trees: Evi

Pricing options using implied trees: Evidence from FTSE-100 options

✍ Kian Guan Lim; Da Zhi 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 191 KB 👁 1 views

## Abstract Previously, few, if any, comparative tests of performance of Jackwerth's (1997) generalized binomial tree (GBT) and Derman and Kani (1994) implied volatility tree (IVT) models were done. In this paper, we propose five different weight functions in GBT and test them empirically compared

Pricing American barrier options with di

Pricing American barrier options with discrete dividends by binomial trees

✍ Gaudenzi, Marcellino ;Zanette, Antonino 📂 Article 📅 2009 🏛 Springer ⚖ 444 KB

Pricing cliquet options by tree methods

✍ Marcellino Gaudenzi; Antonino Zanette 📂 Article 📅 2009 🏛 Springer-Verlag 🌐 English ⚖ 188 KB

Pricing options on realized variance

✍ Peter Carr; Hélyette Geman; Dilip B. Madan; Marc Yor 📂 Article 📅 2005 🏛 Springer-Verlag 🌐 English ⚖ 201 KB

Pricing average options on commodities

✍ Kenichiro Shiraya; Akihiko Takahashi 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 204 KB

This study proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended l-SABR stochastic volatility models (which includes an extended SABR model as a speci

Trinomial or binomial: Accelerating Amer

Trinomial or binomial: Accelerating American put option price on trees

✍ Jiun Hong Chan; Mark Joshi; Robert Tang; Chao Yang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 106 KB

## Abstract We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third‐order mom