On the no-arbitrage condition in option implied trees
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Publication:2519099
DOI10.1016/j.ejor.2007.10.017zbMath1152.91540OpenAlexW2002416405MaRDI QIDQ2519099
Silvia Muzzioli, Vittorio Moriggia, Costanza Torricelli
Publication date: 22 January 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.10.017
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Related Items (3)
A new elementary geometric approach to option pricing bounds in discrete time models ⋮ A comparison of fuzzy regression methods for the estimation of the implied volatility smile function ⋮ The waterline tree for separable local-volatility models
Cites Work
- The Pricing of Options and Corporate Liabilities
- Empirical option pricing: A retrospection
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Option pricing: A simplified approach
- IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
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