A binomial tree is a graphical representation of possible intrinsic values that an option may take at different nodes or time periods.

We implement a Rubinstein-type (1994) implied binomial tree using an Excel spreadsheet, but without using VBA (Visual Basic Application). We demonstrate both the optimization needed to generate ...

In this article, we propose a novel method based on the binomial tree. Rather than using the risk-neutral probability, we apply Nonparametric Predictive Inference (NPI) to infer imprecise ...