"On the no-arbitrage condition in option implied trees."

Vittorio Moriggia, Silvia Muzzioli, Costanza Torricelli (2009)

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DOI: 10.1016/J.EJOR.2007.10.017

access: closed

type: Journal Article

metadata version: 2020-12-29

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Vittorio Moriggia, Silvia Muzzioli, Costanza Torricelli:
On the no-arbitrage condition in option implied trees. Eur. J. Oper. Res. 193(1): 212-221 (2009)

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