Eleni D. Constantinide

University of Cyprus

PhD candidate

Department of Public and Business Administration

University of Cyprus, P.O. Box 20537

Nicosia, CY-1678

Cyprus

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Scholarly Papers (1)

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Option Pricing on Non-Recombining Implied Trees Assuming Serial Dependence of Returns

Number of pages: 44 Posted: 06 Mar 2008
Christakis Charalambous, Eleni D. Constantinide and Spiros Martzoukos
University of Cyprus - Department of Public and Business Administration, University of Cyprus and University of Cyprus - Department of Public and Business Administration
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Abstract:

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Volatility smile, nonlinear constrained optimization, implied non-recombining trees, calibration, serial dependence of returns