Implied Binomial Trees from the Historical Distribution

Abstract

* We are grateful for helpful comments from Salih Neftci. The comments of an anonymous referee were enormously beneficial. We are grateful for support from the Schweger Fund. Remaining errors are our own.

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Cite this paper

@inproceedings{Cakici2001ImpliedBT, title={Implied Binomial Trees from the Historical Distribution}, author={Nusret Cakici and Kevin R. Foster}, year={2001} }