A Random Forest-based binomial tree is proposed to inject market microstructure into option pricing, but the delivered implementation reduces to a 20-state tree and the 13.79% Black-Scholes gap is a fitted, unvalidated output.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.CP 1years
2025 1verdicts
REJECT 1representative citing papers
citing papers explorer
-
Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach
A Random Forest-based binomial tree is proposed to inject market microstructure into option pricing, but the delivered implementation reduces to a 20-state tree and the 13.79% Black-Scholes gap is a fitted, unvalidated output.