Implied Binomial Trees is a lattice-based option pricing model that infers the structure of a binomial tree consistent with observed market prices of options, particularly accommodating volatility smiles by deriving state prices and transition probabilities that are implied from market data rather than assumed a priori.
16
Publications
2.6K
Citations
28
Authors
28
Institutions
Publications per year
2017–2026
1
Parents
Publications
16
Mark Rubinstein · The Journal of Finance · 1994 · 1.7K citations
Stewart Mayhew · Financial Analysts Journal · 1995 · 140 citations
1–5 of 16
Authors
28
- JC
2
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- TW
2
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- AS
2
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- JS
2
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- TF
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1–5 of 28
Institutions
28
University of Otago
Dunedin, New Zealand
2 h-index
2 publications
21 citations
Centre for Economic Policy Research
London, United Kingdom
2 h-index
2 publications
37 citations
The University of Texas at Austin
Austin, United States
2 h-index
3 publications
57 citations
Washington and Lee University
Lexington, United States
2 h-index
2 publications
21 citations
University of Richmond
Richmond, United States
2 h-index
2 publications
21 citations
Colorado State University
Fort Collins, United States
1 h-index
1 publications
17 citations
Jones College
Jacksonville, United States
1 h-index
1 publications
24 citations
Hess (United States)
New York, United States
1 h-index
1 publications
1.7K citations
1–8 of 28
Venues
- SSRN Electronic Journal
Repository · 4 publications · 69 citations
4
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- Journal of Futures Markets
2 publications · 54 citations
2
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- The Journal of Derivatives
2 publications · 305 citations
2
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- Financial Analysts Journal
FAJ · 1 publications · 140 citations
1
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- Journal of International Money and Finance
1 publications · 223 citations
1
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1–5