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

Calculation Results for Installment Put

Option Price
(1st premium)
PV 1st PremiumPV Premium
(if all paid)
Processing TimeTimesteps
0.393168 0.393387 37.686646 0.140 secs 5000

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