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Implied Trinomial Tress of the Volatility Smile

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1979Option pricing: A simplified approach6,103 cited
1994Implied Binomial Trees1,749 cited
1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited

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2001

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IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY

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2005Calibration of the SABR Model in Illiquid Markets71 cited

2001The General Hull–White Model and Supercalibration68 cited

2000The Dynamics of DAX Implied Volatilities68 cited

2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY55 cited

2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects48 cited