Implementing Binomial Trees
16 Pages Posted: 11 Feb 2009 Last revised: 20 Nov 2009
Date Written: November 19, 2009
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: Suggested Citation