English, Article edition: IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS CHARILAOS E. LINARAS; GEORGE SKIADOPOULOS

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Bookmark: http://trove.nla.gov.au/version/83165
Physical Description
  • article
Language
  • English

Edition details

Title
  • IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&​P 100 OPTIONS
Author
  • CHARILAOS E. LINARAS
  • GEORGE SKIADOPOULOS
Physical Description
  • article
Notes
  • This paper examines the pricing performance of various discrete-time option models that accept the variation of implied volatilities with respect to the strike price and the time-to-maturity of the option (implied volatility tree models). To this end, data from the S&​P 100 options are employed for the first time. The complex implied volatility trees are compared to the standard CoxâRossâRubinstein model and the ad-hoc traders model. Various criteria and interpolation methods are used to evaluate the performance of the models. The results have important implications for the pricing accuracy of the models under scrutiny and their implementation.
  • Implied volatility, implied volatility trees, option pricing
  • RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1085-1106
Language
  • English
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