JSTOR Daily

Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for ...
JSTOR Daily

On nonparametric predictive inference for asset and European option trading in the binomial tree model

Vol. 70, No. 10, Special Issue: Computational Approaches and Data Analytics in Financial Services (OCTOBER 2019), pp. 1678-1691 (14 pages) Published By: Taylor & Francis, Ltd. This article introduces ...
Risk

A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?

A new algorithm is proposed for constructing the implied recombining binomial tree. The implied tree built by the method is much more stable and reliable than that constructed using the algorithm of ...
Investopedia

Fugit: What It is, How It Works, Calculation

Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Thomas J Catalano is a CFP and Registered Investment Adviser ...
Investopedia

Gamma Pricing Model: What It Is, How It Works

Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Thomas J Catalano is a CFP and Registered Investment Adviser ...