Implementing Binomial Trees
| Year of publication: |
2009
|
|---|---|
| Authors: | Gilli, Manfred ; Schumann, Enrico |
| Publisher: |
[S.l.] : SSRN |
| Subject: | Optionspreistheorie | Option pricing theory | Entscheidungsbaum | Decision tree | Statistische Verteilung | Statistical distribution |
| Description of contents: |
This paper details the implementation of binomial tree methods for the pricing of European and American options. Pseudocode and sample programs for Matlab and R are given
|
freely available