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Implementing Binomial Trees

Author

Listed:
  • Manfred Gilli
  • Enrico Schumann

Abstract

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
    as

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    File URL: http://comisef.eu/files/wps008.pdf
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    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.

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    More about this item

    Keywords

    Option pricing; Binomial trees; Numerical methods; Matlab; R;
    All these keywords.

    JEL classification:

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

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