Implementing Binomial Trees

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.

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Year of publication:	2009-02-15
Authors:	Gilli, Manfred ; Schumann, Enrico
Institutions:	COMISEF
Subject:	Option pricing \| Binomial trees \| Numerical methods \| Matlab

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 008 18 pages
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008460557