Implied trees are simple non-parametric discretizations of one- or two-dimension diffusions, aimed at introducing non-constant volatility in an option pricing model. The aim of the paper is twofold. First we investigate the ability of different option implied trees in pricing European options. Second, we compare the implied moments obtained with the use of option implied trees with the risk–neutral moments obtained with the use of Bakshi et al. (2003) formula and with realised physical moments. The comparison is pursued in the Italian market by analysing a data set which covers the years 2005-2009 and span both a relatively tranquil and a turmoil period. Keywords:

Muzzioli, S. e A., Ruggieri. "Option implied trees and implied moments" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2013. https://doi.org/10.25431/11380_1023320

Option implied trees and implied moments

Muzzioli, S.;Ruggieri, A.
2013-01-01

Abstract

Implied trees are simple non-parametric discretizations of one- or two-dimension diffusions, aimed at introducing non-constant volatility in an option pricing model. The aim of the paper is twofold. First we investigate the ability of different option implied trees in pricing European options. Second, we compare the implied moments obtained with the use of option implied trees with the risk–neutral moments obtained with the use of Bakshi et al. (2003) formula and with realised physical moments. The comparison is pursued in the Italian market by analysing a data set which covers the years 2005-2009 and span both a relatively tranquil and a turmoil period. Keywords:
Giugno
Muzzioli, S.; Ruggieri, A.
Muzzioli, S. e A., Ruggieri. "Option implied trees and implied moments" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2013. https://doi.org/10.25431/11380_1023320
File in questo prodotto:
File Dimensione Formato  
0015.pdf

Open access

Tipologia: Versione pubblicata dall'editore
Dimensione 260.67 kB
Formato Adobe PDF
260.67 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1023320
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact