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Vanilla Put Option Price

Posted by Chun-Yuan Chiu

Vanilla 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

A linear time algorithm based on the binomial option pricing model and combinatorial method.

Tagged: Binomial Tree, Vanilla Option, Combinatorial Method

 •  May 22, 2013  •