American Put Option Price

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

American Put Option Price

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

The calculation is based on binomial option pricing model.

Tagged: Binomial Tree, American Option

 •  Dec 30, 2012  • 

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