Implied non-recombining trees and calibration for the volatility smile

DOI10.1080/14697680701488692zbMath1190.91134OpenAlexW2070936429MaRDI QIDQ5423197

Chris Charalambous, Spiros H. Martzoukos, Eleni D. Constantinide, Nicos Christofides

Publication date: 22 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701488692

zbMATH Keywords

calibrationVolatility smilenon-convex constrained optimizationimplied non-recombining trees

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of mathematical programming (90C90) Characterization and structure theory of statistical distributions (62E10) Portfolio theory (91G10)

Related Items (4)

The waterline tree for separable local-volatility models ⋮ Non-recombining trinomial tree pricing model and calibration for the volatility smile ⋮ Entropy binomial tree method and calibration for the volatility smile ⋮ An alternative tree method for calibration of the local volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Option pricing: A simplified approach

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