Matches in SemOpenAlex for { <https://semopenalex.org/work/W2301605124> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W2301605124 abstract "The paper examines a market for a stock, discount bonds of all maturities and European calls and puts on the stock of all strikes and all maturities. It derives a discrete time arbitrage free model. Said model is implemented in the binomial framework world in which both stock and bonds dynamics are determined so that risk neutral prices of the calls, exhibit the above smile and put prices are determined by the put-call parity. Fitting is done by deriving an algorithm which allows the interest rate process to be chosen specifically in order to generate fitting while keeping the stock’s volatility constant. As a result the initial market’s smile is allowed to be preserved forever, independently of time and state. The idea of using both stock and bonds in order to derive the local fit (and not viewing the bond dynamics as a given) is new. In this paper we extend the standards implied binomial models, to obtain a more flexible model which is calibrated with market data on European puts and calls. Constructing implied trees from a given smile along with a requirement for the model prices to be fair, generally involves solving a set of the well known CRR-equations under the restriction that the probability at each node is risk-neutral. The success of having a unique solution depends, among others, on the smile’s shape and can be easily violated by a quite steep one. Our model suggests a different approach by considering an optimization procedure. The model uses Brent method which incorporates other well known optimization methods. It is very stable for convergence and although complex it can easily be applied through Matlab program." @default.
- W2301605124 created "2016-06-24" @default.
- W2301605124 creator A5041742094 @default.
- W2301605124 creator A5065703655 @default.
- W2301605124 date "2015-01-01" @default.
- W2301605124 modified "2023-09-27" @default.
- W2301605124 title "On Implied Binomial Trees With a Non Constant Interest Rate Dynamics" @default.
- W2301605124 doi "https://doi.org/10.2139/ssrn.2687731" @default.
- W2301605124 hasPublicationYear "2015" @default.
- W2301605124 type Work @default.
- W2301605124 sameAs 2301605124 @default.
- W2301605124 citedByCount "0" @default.
- W2301605124 crossrefType "journal-article" @default.
- W2301605124 hasAuthorship W2301605124A5041742094 @default.
- W2301605124 hasAuthorship W2301605124A5065703655 @default.
- W2301605124 hasConcept C10138342 @default.
- W2301605124 hasConcept C105235620 @default.
- W2301605124 hasConcept C106159729 @default.
- W2301605124 hasConcept C127413603 @default.
- W2301605124 hasConcept C144237770 @default.
- W2301605124 hasConcept C149782125 @default.
- W2301605124 hasConcept C151730666 @default.
- W2301605124 hasConcept C160623529 @default.
- W2301605124 hasConcept C162324750 @default.
- W2301605124 hasConcept C175025494 @default.
- W2301605124 hasConcept C194483076 @default.
- W2301605124 hasConcept C204036174 @default.
- W2301605124 hasConcept C2780299701 @default.
- W2301605124 hasConcept C2780762169 @default.
- W2301605124 hasConcept C33923547 @default.
- W2301605124 hasConcept C41008148 @default.
- W2301605124 hasConcept C69738904 @default.
- W2301605124 hasConcept C78519656 @default.
- W2301605124 hasConcept C86803240 @default.
- W2301605124 hasConcept C91602232 @default.
- W2301605124 hasConceptScore W2301605124C10138342 @default.
- W2301605124 hasConceptScore W2301605124C105235620 @default.
- W2301605124 hasConceptScore W2301605124C106159729 @default.
- W2301605124 hasConceptScore W2301605124C127413603 @default.
- W2301605124 hasConceptScore W2301605124C144237770 @default.
- W2301605124 hasConceptScore W2301605124C149782125 @default.
- W2301605124 hasConceptScore W2301605124C151730666 @default.
- W2301605124 hasConceptScore W2301605124C160623529 @default.
- W2301605124 hasConceptScore W2301605124C162324750 @default.
- W2301605124 hasConceptScore W2301605124C175025494 @default.
- W2301605124 hasConceptScore W2301605124C194483076 @default.
- W2301605124 hasConceptScore W2301605124C204036174 @default.
- W2301605124 hasConceptScore W2301605124C2780299701 @default.
- W2301605124 hasConceptScore W2301605124C2780762169 @default.
- W2301605124 hasConceptScore W2301605124C33923547 @default.
- W2301605124 hasConceptScore W2301605124C41008148 @default.
- W2301605124 hasConceptScore W2301605124C69738904 @default.
- W2301605124 hasConceptScore W2301605124C78519656 @default.
- W2301605124 hasConceptScore W2301605124C86803240 @default.
- W2301605124 hasConceptScore W2301605124C91602232 @default.
- W2301605124 hasLocation W23016051241 @default.
- W2301605124 hasOpenAccess W2301605124 @default.
- W2301605124 hasPrimaryLocation W23016051241 @default.
- W2301605124 hasRelatedWork W2067228160 @default.
- W2301605124 hasRelatedWork W2081196479 @default.
- W2301605124 hasRelatedWork W2160942650 @default.
- W2301605124 hasRelatedWork W2291259040 @default.
- W2301605124 hasRelatedWork W2429018167 @default.
- W2301605124 hasRelatedWork W2765096368 @default.
- W2301605124 hasRelatedWork W2770451777 @default.
- W2301605124 hasRelatedWork W2949967793 @default.
- W2301605124 hasRelatedWork W2952587619 @default.
- W2301605124 hasRelatedWork W3098853294 @default.
- W2301605124 hasRelatedWork W3121458946 @default.
- W2301605124 hasRelatedWork W3121626527 @default.
- W2301605124 hasRelatedWork W3122262454 @default.
- W2301605124 hasRelatedWork W3123179868 @default.
- W2301605124 hasRelatedWork W3124181023 @default.
- W2301605124 hasRelatedWork W3126144189 @default.
- W2301605124 hasRelatedWork W3151002628 @default.
- W2301605124 hasRelatedWork W3177117823 @default.
- W2301605124 hasRelatedWork W93606612 @default.
- W2301605124 hasRelatedWork W3126145301 @default.
- W2301605124 isParatext "false" @default.
- W2301605124 isRetracted "false" @default.
- W2301605124 magId "2301605124" @default.
- W2301605124 workType "article" @default.