Implied non-recombining trees and calibration for the volatility smile
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DOI: 10.1080/14697680701488692
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- Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri, 2016. "Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions," Department of Economics 0099, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Chris Charalambous & Spiros H. Martzoukos & Zenon Taoushianis, 2022. "Estimating corporate bankruptcy forecasting models by maximizing discriminatory power," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 297-328, January.
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Keywords
Volatility smile; Implied non-recombining trees; Calibration; Non-convex constrained optimization;All these keywords.
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