منابع مشابه
Implied Binomial Trees
Despite its success, the Black-Scholes formula has become increasingly unreliable over time in the very markets where one would expect it to be most accurate. In addition, attempts by financial economists to extract probabilistic information from option prices have been puny in comparison to what is clearly possible. This paper develops a new method for inferring risk-neutral probabilities (or ...
متن کاملEdgeworth Binomial Trees
This paper develops a simple technique for valuing European and American derivatives with underlying asset risk-neutral returns that depart from lognormal in terms of prespecified non-zero skewness and greater-than-three kurtosis. Instead of specifying the entire risk-neutral distribution by the riskless return and volatility (as in the Black-Scholes case), this distribution is specified by its...
متن کاملWiener index of binomial trees and Fibonacci trees
Given a simple connected undirected graph G = (V , E), the Wiener index W (G) of G is defined as half the sum of the distances d(u, v) between all pairs of vertices u, v of G, where d(u, v) denotes the distance (the number of edges on a shortest path between u and v) between u, v in G. We obtain an expression for W (G), where G is a binomial tree. For Fibonacci trees and binary Fibonacci trees ...
متن کاملValuing Real Options using Implied Binomial Trees
A real option on a commodity is valued using an implied binomial tree (IBT) calibrated using commodity futures options prices. Estimating an IBT in the absence of spot options (the norm for commodities) allows real option models to be calibrated for the first time to market-implied probability distributions for commodity prices. Also, the existence of long-dated futures options means that good ...
متن کاملParity vertex colorings of binomial trees
We show for every k ≥ 1 that the binomial tree of order 3k has a vertex-coloring with 2k+1 colors such that every path contains some color odd number of times. This disproves a conjecture from [1] asserting that for every tree T the minimal number of colors in a such coloring of T is at least the vertex ranking number of T minus one.
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 1997
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.1997.407989