A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
S Muzzioli, A Ruggieri, B De Baets - Fuzzy Sets and Systems, 2015 - Elsevier
The information content of option prices on the underlying asset has a special importance in
finance. In particular, with the use of option implied trees, market participants may price other …
finance. In particular, with the use of option implied trees, market participants may price other …
Implied Willow Tree
The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing
detailed analyses of theoretical models and how they are used in practice. The JOD …
detailed analyses of theoretical models and how they are used in practice. The JOD …
The power of deterministic option-implied trees in pricing European options
E Elyasiani, S Muzzioli - Applied Economics, 2022 - Taylor & Francis
The aims of the current article are threefold. First, to investigate the power of deterministic
option-implied trees, constructed either by forward or by backward induction, in pricing …
option-implied trees, constructed either by forward or by backward induction, in pricing …
Option price predictability, splines, and expanded rationality
H Dong, X Guo - Model Assisted Statistics and Applications, 2022 - content.iospress.com
The current practice of option price forecast relies on the outputs of various option pricing
models. The expected value of the current option price is widely regarded as the best …
models. The expected value of the current option price is widely regarded as the best …
Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions
E Elyasiani, S Muzzioli, A Ruggieri - DEMB WORKING PAPER …, 2016 - iris.unimore.it
The aims of this paper are twofold. First, to investigate the accuracy of different option-
implied trees in pricing European options in order to assess the power of implied trees in …
implied trees in pricing European options in order to assess the power of implied trees in …