Generalized Binomial Trees

Jens Carsten Jackwerth
Additional contact information
Jens Carsten Jackwerth: Haas School of Business, University of California, Berkeley

Finance from University Library of Munich, Germany

Abstract: We consider the problem of consistently pricing new options given the prices of related options on the same stock. The Black-Scholes formula and standard binomial trees can only accommodate one related European option which then effectively specifies the volatility parameter. Implied binomial trees can accommodate only related European options with the same time-to-expiration. The generalized binomial trees introduced here can accommodate any kind of related options (European, American, or exotic) with different times-to-expiration.

JEL-codes: G (search for similar items in EconPapers)
Date: 1998-03-23
Note: postscript, revised August 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/9803/9803004.pdf (application/pdf)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/9803/9803004.ps.gz (application/postscript)

Related works:
Working Paper: Generalized Binomial Trees (1997)
Working Paper: Generalized Binomial Trees (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:9803004

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).