Class BinomialTree

java.lang.Object

com.quantfinlib.pricing.BinomialTree

public final class BinomialTree
extends Object

Cox-Ross-Rubinstein binomial tree for European and American options with a continuous carry yield (dividends / foreign rate). Converges to Black-Scholes for European payoffs; prices the early-exercise premium for American ones.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static enum	BinomialTree.ExerciseStyle

Method Summary

Modifier and Type	Method	Description
static double	delta(BlackScholes.OptionType type, BinomialTree.ExerciseStyle style, double spot, double strike, double rate, double carry, double vol, double timeYears, int steps)	Delta from the first tree step (central difference at t=dt).
static double	earlyExercisePremium(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears, int steps)	Early-exercise premium: American price minus European price.
static double	price(BlackScholes.OptionType type, BinomialTree.ExerciseStyle style, double spot, double strike, double rate, double carry, double vol, double timeYears, int steps)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

price

public static double price(BlackScholes.OptionType type,
 BinomialTree.ExerciseStyle style,
 double spot,
 double strike,
 double rate,
 double carry,
 double vol,
 double timeYears,
 int steps)

earlyExercisePremium

public static double earlyExercisePremium(BlackScholes.OptionType type,
 double spot,
 double strike,
 double rate,
 double carry,
 double vol,
 double timeYears,
 int steps)

Early-exercise premium: American price minus European price.

delta

public static double delta(BlackScholes.OptionType type,
 BinomialTree.ExerciseStyle style,
 double spot,
 double strike,
 double rate,
 double carry,
 double vol,
 double timeYears,
 int steps)

Delta from the first tree step (central difference at t=dt).