Concepedia

Binomial Tree Pricing

Binomial Tree Pricing is a discrete-time options pricing model that uses a lattice-based computational method to evaluate equity derivatives by simulating multiple potential price paths of the underlying asset under the assumption of binomial evolution with constant up and down movements over successive time intervals.

85

Publications

5.8K

Citations

157

Authors

106

Institutions

Publications per year

2017–2026

5

Variants

Binomial Options Pricing Model

Parents

Publications

85

Implied Binomial Trees

Mark Rubinstein · The Journal of Finance · 1994 · 1.7K citations

, , +11

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

Mark Broadie, Jérôme Detemple · Review of Financial Studies · 1996 · 573 citations

, , +16

Option-Implied Risk-Neutral Distributions and Implied Binomial Trees

Jens Carsten Jackwerth · The Journal of Derivatives · 1999 · 267 citations

, , +17

Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function

Nengjiu Ju · Review of Financial Studies · 1998 · 253 citations

, , +14

Implied exchange rate distributions: evidence from OTC option markets

José Manuel Campa, P. H. Kevin Chang, Robert L. Reider · Journal of International Money and Finance · 1998 · 223 citations · Full text

, , +17

1–5 of 85

Authors

157

  1. MS
    Mark S. Joshi

    The University of Melbourne, Australia

    5 publications · 100 citations

    5

    h-index

  2. MD
    Min Dai

    National University of Singapore, Singapore

    4 publications · 113 citations

    4

    h-index

  3. WX
    Wei Xu

    Tongji University, China

    3 publications · 59 citations

    3

    h-index

  4. AS
    Adam Schwartz

    Washington and Lee University, United States

    3 publications · 43 citations

    3

    h-index

  5. LJ
    Lishang Jiang

    Tongji University, China

    3 publications · 110 citations

    3

    h-index

1–5 of 157

Institutions

106

  1. Tongji University

    Shanghai, China

    4 h-index

    8 publications

    150 citations

  2. The University of Melbourne

    Melbourne, Australia

    4 h-index

    7 publications

    154 citations

  3. Washington and Lee University

    Lexington, United States

    3 h-index

    3 publications

    43 citations

  4. University of Chicago

    Chicago, United States

    2 h-index

    2 publications

    87 citations

  5. Columbia University

    New York, United States

    2 h-index

    2 publications

    627 citations

  6. University of Richmond

    Richmond, United States

    2 h-index

    2 publications

    21 citations

  7. Imperial College London

    London, United Kingdom

    2 h-index

    7 publications

    112 citations

  8. Macquarie University

    Sydney, Australia

    2 h-index

    3 publications

    35 citations

1–8 of 106

Venues

  1. The Journal of Derivatives

    11 publications · 638 citations

    11

    h-index

  2. SSRN Electronic Journal

    Repository · 9 publications · 235 citations

    9

    h-index

  3. Journal of Futures Markets

    6 publications · 149 citations

    6

    h-index

  4. Quantitative Finance

    4 publications · 76 citations

    4

    h-index

  5. Mathematical Finance

    3 publications · 102 citations

    3

    h-index

1–5