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 | Cox,
Ross & Rubinstein Binomial Tree |
| programmed by Daniel Chai, one of my modeling students, October 2003: Binomial Tree with Java Script |
| Interest Rate Trinomial Tree - Hull & White Method (on interest modeling page) |
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Cox, Ross & Rubinstein Binomial Tree »download |
This model introduces the binomial option pricing model as proposed by Cox, Ross & Rubinstein (1979). It allows the visualization of the tree for up to 50 time steps for a plain-vanilla option of choice (European or American, Call or Put). The tree is generated by a user-defined VBA function. The code for this function is password protected but can be obtained from the author (kurthess@waikato.ac.nz). It has been hidden because it is a possible solution for an assignment in one of the modeling courses taught at Waikato Management School.
