This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
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Updated
Sep 6, 2017 - MATLAB
This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).
This is a binomial tree program that prices European single-barrier knock-in calls on a dividend-paying stock, and also determines the relative error based on the call price using the Black-Scholes model.
Prices financial options using a multi-period binomial tree model.
TPPE29 is a course in Financial Markets and Instruments taught at Linkoping University.
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