Valuation models
Binomial tree
American, Bermudan and European calls and puts, early exercise premium, exercise boundary, Greeks and convergence.
Inputs
Results
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Methodology
Conventions
- Cox-Ross-Rubinstein recombining tree, constant rate and volatility.
References
- Cox, Ross and Rubinstein (1979)
Formulas
- Moves
- u = e^(σ√Δt), d = 1/u
- Probability
- p = (e^((r−q)Δt) − d) / (u − d)