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: Silvia Muzzioli () and Costanza Torricelli

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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Related works:
Working Paper: Call and put implied volatilities and the derivation of option implied trees (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ffe:journl:v:4:y:2007:i:1:p:35-64

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