Binary tree american option. 60second-binaryoption.com We price an american binary call option in a 3 period binomial tree model. Idea is.

Binary tree american option

Binary call option - american binary option pricing: 3 period binomial tree model

Binary tree american option. 60second-binaryoption.com We price an american binary call option in a 3 period binomial tree model. Idea is.

Binary tree american option


Translated by Mouseover text to see original. Click the button below to return to the English verison of the page. This page has been translated by MathWorks. Please click here To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

The automated translation of this page is provided by a general purpose third party translator tool. MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation. When specifying the input argument ExDiv in terms of number of periods, divide the ex-dividend date, specified in years, by the time Increment. The output returned is the asset price and American option value at each node of the binary tree.

Time increment, specified as a scalar numeric. Increment is adjusted so that the length of each interval is consistent with the maturity time of the option. Increment is adjusted so that Time divided by Increment equals an integer number of increments.

Optional Dividend rate, specified as a scalar decimal. Optional Dividend payment at an ex-dividend date ExDiv , specified as a 1 -by- N row vector. For each dividend payment, there must be a corresponding ex-dividend date.

Optional Ex-dividend date, specified as a 1 -by- N vector row vector for the number of periods. Options, Futures, and Other Derivative Securities. Choose your country to get translated content where available and see local events and offers.

Based on your location, we recommend that you select: Trial Software Product Updates. This is machine translation Translated by. Input Arguments collapse all Price — Current price of underlying asset numeric. Current price of underlying asset, specified as a scalar numeric value. Strike — Exercise price of the option numeric. Exercise price of the option, specified as a scalar numeric value. Rate — Risk-free interest rate decimal.

Risk-free interest rate, specified as scalar decimal fraction. Time — Option time until maturity numeric. Option time until maturity, specified as a scalar for the number of years. Increment — Time increment numeric. Volatility — Asset volatility numeric. Asset volatility, specified as a scalar numeric. Flag — Flag indicating whether option is a call or put integer with values 0 or 1. DividendRate — Dividend rate 0 default decimal.

Dividend — Dividend payment 0 default numeric. ExDiv — Ex-dividend date 0 default numeric. Output Arguments collapse all AssetPrice — Asset price vector. OptionValue — Option value vector.

References [1] Cox, J. Was this topic helpful? Select Your Country Choose your country to get translated content where available and see local events and offers.


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