The pricing of options on an interval binomial tree. An application to the DAX-index option market

DOI10.1016/J.EJOR.2004.01.008zbMATH Open1067.90106OpenAlexW2035924424MaRDI QIDQ704078FDOQ704078

Authors: Silvia Muzzioli, Costanza Torricelli 

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.008

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zbMATH Keywords

pricingbinomial modelput-call parityChoquet pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Implied trees in illiquid markets: A Choquet pricing approach
• Fuzzy measures and asset prices: accounting for information ambiguity
• Liquidity and credit risk

Cited In (7)

• On the no-arbitrage condition in option implied trees
• Choquet-based European option pricing with stochastic (and fixed) strikes
• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
• A fuzzy approach to R{\&}D project portfolio selection
• Numerics of Implied Binomial Trees
• Implied trees in illiquid markets: A Choquet pricing approach
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function

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