Questions tagged [binomial-tree]

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19 questions
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American Put Option Pricing

I am trying to solve a question of American Put Option pricing as below. Build a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with:...
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Value of portfolio with fixed discrete dividends

I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio. Suppose that we have a two period binomial tree of a stock with initial ...
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Pricing European Call on Coupon Bond in Lattice

What's the best approach to pricing a par call option on a coupon paying bond? Is it to discount the greater of the price and strike through the lattice? And for this, is the price used the dirty or ...
How to estimate $\sigma$ and $r$ in binomial pricing model?
I am writing a program to price American put options with binomial pricing model and to compare it with the market price. When I used made-up numbers for $\sigma$ and $r$, the price by binomial ...