Pricing Options Using Implied Trees: Evidence from Ftse-100 Options
Previously, few comparative tests of performance of Jackwerth's (1997) generalized binomial tree (GBT) and Derman and Kani (1994) implied volatility tree models were done. In this paper, 5 different weight functions in GBT are proposed and are tested empirically compared to both the Black-Schol...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2002
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2635 https://proquest.umi.com/pqdweb?did=138665031&sid=29&Fmt=3&clientId=44274&RQT=309&VName=PQD |
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| Institution: | Singapore Management University |
| Language: | English |