Advanced search
Publication Cover
Quantitative Finance Volume 7, 2007 - Issue 4: Portfolio Construction and Risk Management
Submit an article Journal homepage
145
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

Implied non-recombining trees and calibration for the volatility smile

Chris Charalambous Department of Business Administration, University of Cyprus, PO Box 20537, CY, 1678 Nicosia, CyprusCorrespondence[email protected]
,
Nicos Christofides Centre for Quantitative Finance, Imperial College, London, UK
,
Eleni D. Constantinide Department of Business Administration, University of Cyprus, PO Box 20537, CY, 1678 Nicosia, Cyprus
&
Spiros H. Martzoukos Department of Business Administration, University of Cyprus, PO Box 20537, CY, 1678 Nicosia, Cyprus
Pages 459-472 | Received 01 Jul 2006, Accepted 05 May 2007, Published online: 22 Aug 2007

Citations (7)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Elyas Elyasiani & Silvia Muzzioli. (2022) The power of deterministic option-implied trees in pricing European options. Applied Economics 54:22, pages 2596-2609.
Read now
Wenxiu Gong, Zuoliang Xu & Qinghua Ma. (2020) Entropy binomial tree method and calibration for the volatility smile. Inverse Problems in Science and Engineering 28:11, pages 1591-1608.
Read now

Articles from other publishers (5)

Wenxiu Gong & Zuoliang Xu. (2022) An alternative tree method for calibration of the local volatility. Journal of Industrial & Management Optimization 18:1, pages 137.
Crossref
Chris Charalambous, Spiros H. Martzoukos & Zenon Taoushianis. (2021) Estimating corporate bankruptcy forecasting models by maximizing discriminatory power. Review of Quantitative Finance and Accounting 58:1, pages 297-328.
Crossref
Wenxiu Gong & Zuoliang Xu. (2019) Non-recombining trinomial tree pricing model and calibration for the volatility smile. Journal of Inverse and Ill-posed Problems 27:3, pages 353-366.
Crossref
U Hou Lok & Yuh-Dauh Lyuu. (2017) The waterline tree for separable local-volatility models. Computers & Mathematics with Applications 73:4, pages 537-559.
Crossref
Christakis Charalambous, Eleni D. Constantinide & Spiros Spiridon Martzoukos. (2008) Option Pricing on Non-Recombining Implied Trees Assuming Serial Dependence of Returns. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.