IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS

DOI10.1142/S0219024905003359zbMath1115.91334MaRDI QIDQ5493852

George Skiadopoulos, Charilaos E. Linaras

Publication date: 16 October 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingimplied volatilityimplied volatility trees

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

An improved method for pricing and hedging long dated American options ⋮ The waterline tree for separable local-volatility models ⋮ On the no-arbitrage condition in option implied trees

Cites Work

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• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Calibrating volatility surfaces via relative-entropy minimization
• A market model for stochastic implied volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing: A simplified approach

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