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Implementing Binomial Trees


  • Manfred Gilli
  • Enrico Schumann


This 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.

Suggested Citation

  • Manfred Gilli & Enrico Schumann, 2009. "Implementing Binomial Trees," Working Papers 008, COMISEF.
  • Handle: RePEc:com:wpaper:008

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    References listed on IDEAS

    1. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
    2. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    3. 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.
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    More about this item


    Option pricing; Binomial trees; Numerical methods; Matlab; R;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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