Implicit binomial trees, higher order stochastic moments and options valuation
Implicit Binomial Trees allow inferring, using market prices, the probabilities associated with the projected final nodal values ””of the underlying. Unlike the binomial model, this proposal incorporates higher order moments (skewness and kurtosis). Taking the case of valuation of a financial option...
| Autores principales: | , |
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| Formato: | Artículo publishedVersion |
| Lenguaje: | Español |
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FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES
2013
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| Acceso en línea: | https://ojs.economicas.uba.ar/REPBA/article/view/559 https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=559_oai |
| Aporte de: |
| Sumario: | Implicit Binomial Trees allow inferring, using market prices, the probabilities associated with the projected final nodal values ””of the underlying. Unlike the binomial model, this proposal incorporates higher order moments (skewness and kurtosis). Taking the case of valuation of a financial option negotiated in the local market: a) the necessary steps for the construction of the implicit binomial grid; b) the results are compared with the classic binomial model; c) a case of valuation of the option to defer in a concession contract for raw material extraction is presented. |
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