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 کاملAn Efficient Implementation of Implied Binomial Trees
Implied binomial trees are constructed by fitting a risk-neutral density (in the form of ending nodal probabilities) to observed option prices. Since there are usually not enough options traded in the marketplace, a quadratic program is often used to extract the ending nodal probabilities from observed option prices. A problem with this commonly used approach is that the quadratic program is us...
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 کاملImplied Binomial Trees from the Historical Distribution
* We are grateful for helpful comments from Salih Neftci. The comments of an anonymous referee were enormously beneficial. We are grateful for support from the Schweger Fund. Remaining errors are our own.
متن کاملImplied Binomial Models Master’s thesis
In this paper we extend the standard binomial model to obtain a more flexible model that will be calibrated with market data on European puts and calls. We also discuss how this extended model can be used to incorporate an investor’s view of the future behaviour of the stock market.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.2894281