Abstract: We derive the binomial tree scheme for pricing American put options in a regime switching model. An explicit formula is obtained for one-period binomial tree model. Furthermore the pricing ...

The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for ...

This small project is a study of Binomial Tree Option Pricing Model referenced from Hull "Options, Futures, and Other Derivatives". This project is in Python and uses numpy for computations of the ...

Vol. 70, No. 10, Special Issue: Computational Approaches and Data Analytics in Financial Services (OCTOBER 2019), pp. 1678-1691 (14 pages) Published By: Taylor & Francis, Ltd. This article introduces ...

There was an error while loading. Please reload this page. The Python script calculates the price of a European call option using two different methods: the Black ...

Caroline Banton has 6+ years of experience as a writer of business and finance articles. She also writes biographies for Story Terrace. Thomas J Catalano is a CFP and Registered Investment Adviser ...

A new algorithm is proposed for constructing the implied recombining binomial tree. The implied tree built by the method is much more stable and reliable than that constructed using the algorithm of ...