{"id":"https://openalex.org/W2914938931","doi":"https://doi.org/10.1080/01605682.2018.1495997","title":"Nonparametric predictive inference for European option pricing based on the binomial tree model","display_name":"Nonparametric predictive inference for European option pricing based on the binomial tree model","publication_year":2019,"publication_date":"2019-02-22","ids":{"openalex":"https://openalex.org/W2914938931","doi":"https://doi.org/10.1080/01605682.2018.1495997","mag":"2914938931"},"language":"en","primary_location":{"id":"doi:10.1080/01605682.2018.1495997","is_oa":false,"landing_page_url":"https://doi.org/10.1080/01605682.2018.1495997","pdf_url":null,"source":{"id":"https://openalex.org/S169988927","display_name":"Journal of the Operational Research Society","issn_l":"0160-5682","issn":["0160-5682","1476-9360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319703","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319703","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Palgrave Macmillan","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of the Operational Research Society","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://durham-repository.worktribe.com/output/1323502","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026964397","display_name":"Ting He","orcid":"https://orcid.org/0000-0001-6639-1292"},"institutions":[{"id":"https://openalex.org/I190082696","display_name":"Durham University","ror":"https://ror.org/01v29qb04","country_code":"GB","type":"education","lineage":["https://openalex.org/I190082696"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Ting He","raw_affiliation_strings":["Department of Mathematical Sciences, Durham University, Durham, UK","Department of Mathematical Sciences, Durham University, Durham DH1 3LE"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Durham University, Durham, UK","institution_ids":["https://openalex.org/I190082696"]},{"raw_affiliation_string":"Department of Mathematical Sciences, Durham University, Durham DH1 3LE","institution_ids":["https://openalex.org/I190082696"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068921097","display_name":"Frank P. A. Coolen","orcid":"https://orcid.org/0000-0002-8861-4298"},"institutions":[{"id":"https://openalex.org/I190082696","display_name":"Durham University","ror":"https://ror.org/01v29qb04","country_code":"GB","type":"education","lineage":["https://openalex.org/I190082696"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Frank P. A. Coolen","raw_affiliation_strings":["Department of Mathematical Sciences, Durham University, Durham, UK","Department of Mathematical Sciences, Durham University, Durham DH1 3LE"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Durham University, Durham, UK","institution_ids":["https://openalex.org/I190082696"]},{"raw_affiliation_string":"Department of Mathematical Sciences, Durham University, Durham DH1 3LE","institution_ids":["https://openalex.org/I190082696"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069838226","display_name":"Tahani Coolen\u2010Maturi","orcid":"https://orcid.org/0000-0002-0229-2671"},"institutions":[{"id":"https://openalex.org/I190082696","display_name":"Durham University","ror":"https://ror.org/01v29qb04","country_code":"GB","type":"education","lineage":["https://openalex.org/I190082696"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Tahani Coolen-Maturi","raw_affiliation_strings":["Department of Mathematical Sciences, Durham University, Durham, UK","Department of Mathematical Sciences, Durham University, Durham DH1 3LE"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Durham University, Durham, UK","institution_ids":["https://openalex.org/I190082696"]},{"raw_affiliation_string":"Department of Mathematical Sciences, Durham University, Durham DH1 3LE","institution_ids":["https://openalex.org/I190082696"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5026964397"],"corresponding_institution_ids":["https://openalex.org/I190082696"],"apc_list":null,"apc_paid":null,"fwci":1.3917,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.82066394,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"70","issue":"10","first_page":"1692","last_page":"1708"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9890999794006348,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9890999794006348,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9763000011444092,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9563000202178955,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/binomial-options-pricing-model","display_name":"Binomial options pricing model","score":0.803489625453949},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.617216169834137},{"id":"https://openalex.org/keywords/inference","display_name":"Inference","score":0.537706196308136},{"id":"https://openalex.org/keywords/binomial-distribution","display_name":"Binomial distribution","score":0.5169838666915894},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5131602883338928},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.49477118253707886},{"id":"https://openalex.org/keywords/nonparametric-statistics","display_name":"Nonparametric statistics","score":0.4605722427368164},{"id":"https://openalex.org/keywords/probability-distribution","display_name":"Probability distribution","score":0.43656760454177856},{"id":"https://openalex.org/keywords/tree","display_name":"Tree (set theory)","score":0.4191231429576874},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24997007846832275},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.23969590663909912},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.16096338629722595}],"concepts":[{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.803489625453949},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.617216169834137},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.537706196308136},{"id":"https://openalex.org/C41054675","wikidata":"https://www.wikidata.org/wiki/Q185547","display_name":"Binomial distribution","level":2,"score":0.5169838666915894},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5131602883338928},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.49477118253707886},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.4605722427368164},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.43656760454177856},{"id":"https://openalex.org/C113174947","wikidata":"https://www.wikidata.org/wiki/Q2859736","display_name":"Tree (set theory)","level":2,"score":0.4191231429576874},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24997007846832275},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.23969590663909912},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.16096338629722595},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1080/01605682.2018.1495997","is_oa":false,"landing_page_url":"https://doi.org/10.1080/01605682.2018.1495997","pdf_url":null,"source":{"id":"https://openalex.org/S169988927","display_name":"Journal of the Operational Research Society","issn_l":"0160-5682","issn":["0160-5682","1476-9360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319703","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319703","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Palgrave Macmillan","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of the Operational Research Society","raw_type":"journal-article"},{"id":"pmh:oai:dro.dur.ac.uk.OAI2:25322","is_oa":false,"landing_page_url":"http://dro.dur.ac.uk/25322/","pdf_url":null,"source":{"id":"https://openalex.org/S4377196258","display_name":"Durham Research Online (Durham University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I190082696","host_organization_name":"Durham University","host_organization_lineage":["https://openalex.org/I190082696"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"Journal of the Operational Research Society, 2019, Vol.70(10), pp.1692-1708 [Peer Reviewed Journal]","raw_type":"Article"},{"id":"pmh:oai:RePEc:taf:tjorxx:v:70:y:2019:i:10:p:1692-1708","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/01605682.2018.1495997","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:durham-repository.worktribe.com:1323502","is_oa":true,"landing_page_url":"https://durham-repository.worktribe.com/output/1323502","pdf_url":null,"source":{"id":"https://openalex.org/S4306400188","display_name":"Durham Research Online (Durham University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I190082696","host_organization_name":"Durham University","host_organization_lineage":["https://openalex.org/I190082696"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"acceptedVersion"}],"best_oa_location":{"id":"pmh:oai:durham-repository.worktribe.com:1323502","is_oa":true,"landing_page_url":"https://durham-repository.worktribe.com/output/1323502","pdf_url":null,"source":{"id":"https://openalex.org/S4306400188","display_name":"Durham Research Online (Durham University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I190082696","host_organization_name":"Durham University","host_organization_lineage":["https://openalex.org/I190082696"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"acceptedVersion"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W1808176545","https://openalex.org/W1976251742","https://openalex.org/W1976608763","https://openalex.org/W2006314832","https://openalex.org/W2010265123","https://openalex.org/W2016012896","https://openalex.org/W2020053923","https://openalex.org/W2054545513","https://openalex.org/W2074342064","https://openalex.org/W2076785619","https://openalex.org/W2121391333","https://openalex.org/W2131953735","https://openalex.org/W2146612430","https://openalex.org/W2460729566","https://openalex.org/W2491249576","https://openalex.org/W2964853676","https://openalex.org/W4210414450","https://openalex.org/W4210427261","https://openalex.org/W4235600225"],"related_works":["https://openalex.org/W2902898608","https://openalex.org/W3201761445","https://openalex.org/W4387382185","https://openalex.org/W2785696775","https://openalex.org/W4328096212","https://openalex.org/W2506118083","https://openalex.org/W2020454653","https://openalex.org/W2273881593","https://openalex.org/W2285318723","https://openalex.org/W249141855"],"abstract_inverted_index":{"In":[0,51],"finance,":[1],"option":[2,14],"pricing":[3,15],"is":[4,16],"one":[5],"of":[6,80],"the":[7,17,34,47,61,67,95,101,105,110,118,126,132,148,151,159],"main":[8],"topics.":[9],"A":[10],"basic":[11],"model":[12,31,107,128],"for":[13],"Binomial":[18],"Tree":[19],"Model,":[20],"proposed":[21],"by":[22],"Cox,":[23],"Ross,":[24],"and":[25,104,108,123],"Rubinstein":[26],"in":[27,112,150,158],"1979":[28],"(CRR).":[29],"This":[30],"assumes":[32],"that":[33,138],"underlying":[35],"asset":[36],"price":[37,94],"follows":[38],"a":[39,43,56],"binomial":[40,62],"distribution":[41],"with":[42],"constant":[44],"upward":[45],"probability,":[46,69],"so-called":[48],"risk-neutral":[49,68],"probability.":[50],"this":[52],"article,":[53],"we":[54,70,93],"propose":[55],"novel":[57],"method":[58,103],"based":[59],"on":[60],"tree.":[63],"Rather":[64],"than":[65,147],"using":[66],"apply":[71],"Nonparametric":[72],"Predictive":[73],"Inference":[74],"(NPI)":[75],"to":[76],"infer":[77],"imprecise":[78],"probabilities":[79],"movements,":[81],"reflecting":[82],"more":[83],"uncertainty":[84],"while":[85],"learning":[86],"from":[87,131],"data.":[88],"To":[89],"study":[90],"its":[91],"performance,":[92],"same":[96],"European":[97],"options":[98],"utilising":[99],"both":[100],"NPI":[102,140],"CRR":[106,119,127,149],"compare":[109],"results":[111],"two":[113],"different":[114],"scenarios,":[115],"firstly":[116],"where":[117,125],"assumptions":[120,129],"are":[121],"right,":[122],"secondly":[124],"deviate":[130],"real":[133],"market.":[134],"It":[135],"turns":[136],"out":[137],"our":[139],"method,":[141],"as":[142],"expected,":[143],"cannot":[144],"perform":[145],"better":[146,157],"first":[152],"scenario,":[153],"but":[154],"can":[155],"do":[156],"second":[160],"scenario.":[161]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}