The pricing of options on an interval binomial tree. An application to the DAX-index option market.
Silvia MuzzioliCostanza TorricelliPublished in: Eur. J. Oper. Res. (2005)
Keyphrases
- option pricing
- black scholes
- black scholes model
- stock price
- index structure
- b tree
- decision analysis
- indexing schemes
- tree structure
- indexing structure
- convertible bonds
- real option
- index tree
- chinese stock market
- stock market
- data structure
- r tree
- suffix tree
- multi dimensional
- spatial index
- hash table
- database
- financial markets
- non stationary
- financial data
- probability distribution
- range aggregate queries
- futures market
- space partitioning
- stock exchange
- learning automata
- historical data
- indexing techniques
- range queries
- decision makers
- decision making