The power of deterministic option-implied trees in pricing European options
Author:
Affiliation:
1. Fox School of Business, Temple University, Philadelphia, PA, USA
2. Department of Economics and CEFIN, University of Modena and Reggio Emilia, Modena, Italy
Funder
Università Degli Studi di Modena e Reggio Emila
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1998330
Reference44 articles.
1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
2. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
3. A Theory of Volatility Spreads
4. Robust option pricing
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