Implementing Binomial Trees

Manfred Gilli () and Enrico Schumann

No 8, Working Papers from COMISEF

Abstract: This paper details the implementation of binomial tree methods for the pricing of European and American options. Pseudocode and sample programmes for Matlab and R are given.

Keywords: Option pricing; Binomial trees; Numerical methods; Matlab; R (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2009-02-15
New Economics Papers: this item is included in nep-cmp and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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