Skip to content
This repository was archived by the owner on Feb 26, 2021. It is now read-only.

README.md

Latest commit

 

History

History
14 lines (9 loc) · 569 Bytes

README.md

File metadata and controls

14 lines (9 loc) · 569 Bytes
Raw

Binomial Options Pricing

Compute the arbitrage-free initial price of an option under the CRR binomial options pricing model.

  • papo: price American put option
  • peco: price European call option

To compile, run make. Running the programs with no arguments will show usage instructions.

References

  1. S. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004
  2. R.J. Williams, Introduction to the Mathematics of Finance, American Mathematical Society, 2006