Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25284 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2008,044
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as volatility smile. They provide a discrete approximation to the continuous risk neutral process for the underlying assets. In this paper, we describe the numerical construction of IBTs by Derman and Kani (DK) and an alternative method by Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density (SPD). We compare the SPD estimated by the IBT methods with a conditional density computed from a simulated difusion process. In addition, we apply the IBT to EUREX option prices and compare the estimated SPDs. Both IBT methods coincide well with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate, particularly.
Schlagwörter: 
Implied tree models
implied olatility
local volatility
option pricing
JEL: 
G12
G13
C13
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.32 MB





Publikationen in EconStor sind urheberrechtlich geschützt.