Option Pricing Calculator based on Cox, Ross and Rubinstein

For details on option pricing using trees see Cox, John C., Stephen A. Ross, and Mark Rubinstein. "Option pricing: A simplified approach." Journal of financial Economics 7.3 (1979): 229-263. For introduction to different type of options see

Option pricing using binomial trees part 1, part 2 part 3
Installment options used to price unit linked insurance products

Parameters

Time to maturity		Floating point value, e.g. 1.25 for 15 month
Timesteps		Integer value, e.g. 4
Volatility		Floating point value, e.g. 0.25 for 25% volatility
Risk-free interest		Floating point value, e.g. 0.5 for 5.0% interest rate
Asset price at time zero
Strike price
Dividend yield		Floating point value, e.g. 0.03 for 3.0% dividend yield. This an non-continous dividend with ex-dividend dates on each tree step!
Option type
Installment parameters
Number of installments
Installment premium
Fixed premium Proportional premium		Absolut Euro premium Percentage of underlying account
Deducted from AV		Premium is taken from underlying account (currently only for prop. prem.)
Rational behaviour		If option value < premium, holder exits
General Parametrs
Default Calculation Convergence Regression Test		Default binomial tree calculation Simulation of convergence with increasing tree steps Regression Test Runs several predefined valuations

Convergence of CRR Binomial Tree for a Installment Call

Option price = 3.282481 (1000 timesteps / time 0.078594 secs)

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