Binomial option pricing

by Nikolai Shokhirev

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Introduction

(In progress . . . )

In [1] L. Wu extremely clear presented three approaches to option valuation using binomial trees:

  1. Delta hedging
  2. Portfolio replication
  3. Risk-neutral valuation

I also used Refs [2] and [3].

Program

 I implemented the binary tree algorithm using my libraries.

 Info 

Prices, Greeks

Plots

Feel free to download and play (at your own risk).

I am adding several new features, please check later.

Downloads

Binomial option pricing program

References

  1. Binomial Trees, by Liuren Wu. http://faculty.baruch.cuny.edu/lwu/890/890Lec4.pdf
  2. Jouni Kerman, Numerical Methods for Option Pricing: Binomial and Finite-difference Approximations.
  3. P. Wilmott, S. Howison, J. Dewynne. The mathematics of financial derivatives (Cambridge, 1996).

Links

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