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Extracting risk-neutral densities from option prices using mixture binomial trees

Zimmermann, Heinz and Pirkner, Christian and Weigend, Andreas S.. (1999) Extracting risk-neutral densities from option prices using mixture binomial trees. In: Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering, CIFEr 1999. New York, S. 135-158.

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Official URL: http://edoc.unibas.ch/dok/A5251228

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Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Zimmermann, Heinz
Item Type:Conference or Workshop Item
Bibsysno:Link to catalogue
Publisher:IEEE
Note:Publication type according to Uni Basel Research Database: Conference paper
Last Modified:22 Mar 2012 14:28
Deposited On:22 Mar 2012 14:01

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