Generalized bionomial trees

Journal of Derivatives

Volumn 5, Issue 2, 1997, Pages 7-17

  Jackwerth, Jens Carsten ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0346953100     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1997.407989     Document Type: Article

References (8)

1. Breeden, Douglas, and Robert Litzenberger. "Prices of State-Contingent Claims Implicit in Options Prices." Journal of Business, 51 (1978), pp. 621-651.
2. Cox, John C, Stephen A. Ross, and Mark Rubinstein. "Option Pricing: A Simplified Approach." Journal of Financial Economia. 7 (1979), pp. 229-263.
3. Derman, Emanuel, and Iraj Kani. "Riding on a Smile." RISK, 7, No. 2 (1994), pp. 32-39.
4. Dupire, Bruno. "Pricing with a Smile." RISK, 7, No. 1 (1994), pp. 18-20.
5. Jackwerth, Jens Carsten, and Mark Rubinstein. "Recovering Probability Distributions From Option Prices." Journal of Finance. 51 (1996), pp. 1611-1631.
6. Lagnado, Ron, and Stanley Osher. "A Technique for Calibrating Derivative Security Pricing Models: Numerical Solutions of an Inverse Problem." Working paper, University of California at Los Angeles, 1996.
7. Rubinstein, Mark. "Implied Binomial Trees." Journal of Finance. 49 (1994), pp. 771-818.
8. Shimko, David. "Bounds on Probability." RISK, 6, No. 4 (1993), pp. 33-37.