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

DOI10.1016/J.EJOR.2004.01.008MaRDI QIDQ704078zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

binomial modelChoquet pricingpricingput-call parity

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
• Choquet-based European option pricing with stochastic (and fixed) strikes
• On the no-arbitrage condition in option implied trees
• 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
• A fuzzy approach to R{\&}D project portfolio selection

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