On the implied tree model

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Other Title
  • インプライド・ツリー・モデルについて
  • インプライド ツリー モデル ニツイテ
  • インプライドツリーモデルについて

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Abstract

This paper considers the implied tree models and presents their numerical methods for pricing options using Visual C# 2008. The implied tree is built to be consistent with the market prices of plain-vanilla European options and reflects the volatility smile. It can, therefore, be regarded as the generalization of the standard tree with constant volatility. The implied trinomial tree model is superior to the binomial version in that the former is more stable because its rate of increase of underlying asset prices is constant.

Journal

  • 經濟學論叢

    經濟學論叢 61 (2), 327-352, 2009-10-20

    The Doshisha Economic Association

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