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Call an Put Implied Volatilities and the Derivation of Option Implied Trees

V. Moriggia, S. Muzzioli, C. Torricelli ()
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V. Moriggia, S. Muzzioli, C. Torricelli: University of Modena

Authors registered in the RePEc Author Service: Costanza Torricelli () and Silvia Muzzioli ()

Frontiers in Finance and Economics, 2007, vol. 4, issue 1, 35-64

Keywords: implied binomial tree; smile effect; interval tree (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Date: 2007
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Working Paper: Call and put implied volatilities and the derivation of option implied trees (2003) Downloads
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