American Put Option Price

Posted by Chun-Yuan Chiu

American Put Option Price

Input:
Initial underlying asset price
Strike price
Time to maturity Years
Risk free interest rate (annulized)
Volatility (annulized)
Number of time steps
Output:
Put value

The binomial option pricing model with control variate, an algorithm by Hull and White (1988).

Tagged: Binomial Tree, American Option, Control Variates

 •  May 24, 2013  • 

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