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ArticlePricing options on scenario trees

Nikolas Topaloglou2007

Article2007

Pricing options on scenario trees

Nikolas Topaloglou · Hercules Vladimirou · Stavros A. Zenios

22 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1979Martingales and arbitrage in multiperiod securities markets 1994Implied Binomial Trees 2002Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options 1996Recovering Probability Distributions from Option Prices 1991The Crash of '87: Was It Expected? The Evidence from Options Markets 2000Recovering Risk Aversion from Option Prices and Realized Returns 2000Nonparametric risk management and implied risk aversion

Cited by

2011Accounting for the impact of higher order moments in foreign equity option pricing model 2010Estimating financial risk measures for options 2008Controlling Currency Risk with Options or Forwards 2013Effects of higher order moments on the newsvendor problem

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2013Forecasting with Option-Implied Informationchapter · 13 shared references 2018Risk-Neutral Densities: A Reviewreview · 13 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 12 shared references 2010The Econometrics of Option Pricingchapter · 12 shared references 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Reviewpreprint · 10 shared references 2004The Econometrics of Option Pricingpreprint · 10 shared references

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Year2007

Typearticle

Published2007-07-07

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2007.03.010

openalex_workW2054722702

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