Pricing Options Using Implied Trees: Evidence from Ftse-100 Options

• Main Authors: Lim, Kian Guan, Zhi, Da
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...