Implementing Binomial Trees
AbstractThis paper details the implementation of binomial tree methods for the pricing of European and American options. Pseudocode and sample programmes for Matlab and R are given.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by COMISEF in its series Working Papers with number 008.
Length: 18 pages
Date of creation: 15 Feb 2009
Date of revision:
Contact details of provider:
Web page: http://www.comisef.eu
Option pricing; Binomial trees; Numerical methods; Matlab; R;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-05 (All new papers)
- NEP-CMP-2009-12-05 (Computational Economics)
- NEP-ORE-2009-12-05 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anil Khuman).
If references are entirely missing, you can add them using this form.