Nonparametric predictive inference for European option pricing based on the binomial tree model

Author:

He Ting1,Coolen Frank P. A.1,Coolen-Maturi Tahani1

Affiliation:

1. Department of Mathematical Sciences, Durham University, Durham, UK

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Reference19 articles.

1. Arnold, T. & Crack, T. F. (2000). Option pricing in the real world: a generalized binomial model with applications to real options. Available at SSRN: https://ssrn.com/abstract=240554 or http://dx.doi.org/10.2139/ssrn.

2. Nonparametric predictive inference and interval probability

3. Nonparametric predictive inference for stock returns

4. Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory

5. Chen, J., Coolen, F. &Maturi, T. (2018). On nonparametric predictive inference for asset and European option trading in the binomial tree model. Journal of the Operational Research Society (under review).

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