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Title of Journal: Computational Statistics

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Abbravation: Computational Statistics

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Springer-Verlag

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10.1007/s12070-008-0088-8

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1613-9658

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Implied Trinomial Trees and Their Implementation w

Authors: Karel Komorád
Publish Date: 2015/02/26
Volume: 18, Issue: 3, Pages: 435-448
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Abstract

The software XploRe offers many nice tools for modelling implied trinomial trees ITT’s ITT is an option pricing technique which tries to fit the market volatility smile It uses an inductive algorithm constructing a possible evolution process of underlying prices from the current market option data At each stage the price of the underlying can move to three different positions Firstly we describe the construction of ITT’s as described in Derman Kani Chriss 1996 and then we show their implementation in XploRe and explain the computing and plotting macros thoroughly

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