option-pricing-tree is a JavaScript module for pricing options using bi/tri-nomial tree under black scholes assumption.
This module implement the bi/tri nomial tree pricing, under log normal black scholes model/assumption.
This module works on node and in the browser. It is available as the 'option-pricing-tree' package on npm.
npm install option-pricing-tree
var Tree = require('option-pricing-tree');
var tree = new Tree('trinomial','european','call',1,100,100,0.1,0);
var value = tree.build(1000);
Data can be passed into the model as an points array, or as xArray, yArray. The last (2nd or 3rd, depends on what's the input format) parameter can be used to configure the model. For details, please consult regression package documentation.
tree_type
: Either binomial, or trinomialexercise_style
: Either european or americanoption_type
: Either call, put, or straddleexpiry_in_years
: Eg. 1 for 1y, or 0.5 for 6 monthsstrike
: Strike of the optionunderlying
: Underlying pricevol
: (Implied) Annualized log-normal volatilityrate
: Risk-free rate