A binomial tree to price European options

Athos Brogi ()

MPRA Paper from University Library of Munich, Germany

Abstract: A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.

Keywords: Arbitrage; martingale; option; risk-neutral; volatility (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2010-02, Revised 2011-08
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Citations: View citations in EconPapers (1)

Published in PHD Theses in Statistics and Applications: book of short papers 1.1(2010): pp. 111-116

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https://mpra.ub.uni-muenchen.de/33604/1/MPRA_paper_33604.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/40697/1/MPRA_paper_40697.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/55681/1/MPRA_paper_55681.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:33604

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