The pricing of options on an interval binomial tree. An application to the DAX-index option market

DOI10.1016/J.EJOR.2004.01.008zbMath1067.90106OpenAlexW2035924424MaRDI QIDQ704078

Costanza Torricelli, Silvia Muzzioli

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.008

zbMATH Keywords

put-call paritypricingbinomial modelChoquet pricing

Mathematics Subject Classification ID

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

Related Items (4)

A fuzzy approach to R{\&}D project portfolio selection ⋮ Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach ⋮ A comparison of fuzzy regression methods for the estimation of the implied volatility smile function ⋮ Choquet-based European option pricing with stochastic (and fixed) strikes

Cites Work

• Fuzzy measures and asset prices: accounting for information ambiguity
• Liquidity and credit risk
• Implied trees in illiquid markets: A Choquet pricing approach

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