Implementing Binomial Trees

16 Pages Posted: 11 Feb 2009 Last revised: 20 Nov 2009

See all articles by Manfred Gilli

Manfred Gilli

University of Geneva - Research Center for Statistics; Swiss Finance Institute

Enrico Schumann

Independent

Date Written: November 19, 2009

Abstract

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.

Keywords: Option pricing, Binomial trees, Numerical methods, Matlab, R

JEL Classification: G13

Suggested Citation

Gilli, Manfred and Schumann, Enrico, Implementing Binomial Trees (November 19, 2009). Available at SSRN: https://ssrn.com/abstract=1341181 or http://dx.doi.org/10.2139/ssrn.1341181

Manfred Gilli

University of Geneva - Research Center for Statistics ( email )

Geneva
Switzerland
+41223798222 (Phone)
+41223798299 (Fax)

HOME PAGE: http://www.unige.ch/ses/metri/gilli/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Enrico Schumann (Contact Author)

Independent ( email )

No Address Available

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