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Implied trinomial trees

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  • Čίžek, Pavel
  • Komorád, Karel

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  • Čίžek, Pavel & Komorád, Karel, 2005. "Implied trinomial trees," SFB 649 Discussion Papers 2005-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2005-007
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    1. Chen, Ying & Härdle, Wolfgang & Jeong, Seok-Oh, 2008. "Nonparametric Risk Management With Generalized Hyperbolic Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 910-923.
    2. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
    3. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 87-100, March.
    4. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
    5. Kneip, Alois & Benko, Michal, 2005. "Common functional component modelling," SFB 649 Discussion Papers 2005-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    7. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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