Binomial Option Pricing Calculator
Binomial Option Pricing: a planned Super Calculator tool. Covers spot (currency). Stub page: the tool, its formula and a worked example are not published yet.
Binomial Option Pricing Calculator is a planned calculator in the finance section of Super Calculator, covering options and derivatives.
What this calculator will compute
Inputs: spot (currency), strike (currency), time to expiry (years), steps, rate (%), volatility (%), dividend (currency or %) and exercise style.
Outputs: option price (currency), early exercise boundary, convergence against Black-Scholes and tree visualization.
Formula, recorded as scope and not yet verified against a primary source: Cox-Ross-Rubinstein lattice with u = e^(sigma sqrt(dt)), d = 1/u and risk neutral probability p = (e^((r-q)dt) - d)/(u - d), rolled back from expiry with an early exercise comparison at each node, which is what allows American options and discrete dividends to be priced where Black-Scholes cannot.
Status
This page is a stub. The calculator is not built, no figure on this page has been verified against the authority that sets it, and nothing here should be used to make a decision. The page exists so that the site structure is complete and so that articles can link this concept on first mention.
The stub carries noindex, nofollow and is excluded from the sitemap.