American Put Option Price

Posted by Chun-Yuan Chiu  •  Szu-Yu (Gary) Pai  •  Filed under Derivatives Pricing

American Put Option Price

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of time steps
Output:
Put value

The calculation is based on binomial option pricing model.

Tagged: Binomial Tree, American Option

 •  Dec 30, 2012  • 

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