Using CRR tree method to computed the follows (a) the value of the option; (b) Delta, Gamma, and Theta of the option by re-evaluating the option after changing the relevant parameter; (c) Delta, Gamma, and Theta of the option using a single extended tree.
-
Notifications
You must be signed in to change notification settings - Fork 1
SnehaChemerla/ATM-American-Put
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Pricing American Put Option(on a stock which pays no dividends) and its greeks using CRR tree method
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published