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

Floating point value, e.g. 1.25 for 15 month
Integer value, e.g. 4
Floating point value, e.g. 0.25 for 25% volatility
Floating point value, e.g. 0.5 for 5.0% interest rate
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!
Installment parameters

Absolut Euro premium
Percentage of underlying account
Premium is taken from underlying account (currently only for prop. prem.)
If option value < premium, holder exits
General Parametrs

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 0.119551 secs)


crr (at) neurolab (dot) de