QuantCalc the calculator for all quants

American Put Option Price

Posted by Chun-Yuan Chiu  •  Gary Pai  •  Filed under Derivatives Pricing

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 calculation is based on binomial option pricing model.

Tagged: Binomial Tree, American Option

 •  Dec 30, 2012  •