A Binomial Tree to Price European and American Options

Athos Brogi ()

MPRA Paper from University Library of Munich, Germany

Abstract: A martingale pricing changing volatility binomial tree modeling the negative correlation between returns and volatility is presented and implemented. Matlab code implementing the tree is provided, as well as pricing examples.

Keywords: Arbitrage; kurtosis; martingale; option; risk-neutral; skewness; volatility (search for similar items in EconPapers)
JEL-codes: C1 G1 G13 (search for similar items in EconPapers)
Date: 2016
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https://mpra.ub.uni-muenchen.de/74962/1/MPRA_paper_74962.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/116854/1/MPRA_paper_116854.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/116950/1/MPRA_paper_116950.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:74962

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