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Implied Trinomial Tress of the Volatility Smile · Study

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ArticleImplied Trinomial Tress of the Volatility Smile

Emanuel Derman1996

Article1996

Implied Trinomial Tress of the Volatility Smile

Emanuel Derman · Iraj Kani · Neil A. Chriss

142 citations·0/0 files stored·The Journal of Derivatives

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1994Implied Binomial Trees 1990Simple Binomial Processes as Diffusion Approximations in Financial Models

Cited by

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Details

Year1996

Typearticle

Published1996-05-31

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations142

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.3905/jod.1996.407952

openalex_workW2106875231

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