Discrete-Time Models for the Pricing of Options-Binomial Tree Based

Minyi Zhang ； Yangguang Lin ； Yuang Yang ； Ziang Zhao

《Frontiers in Economics and Management》 1卷11期 (2020/11) Pp. 227-237

https://doi.org/10.6981/FEM.202011_1(11).0031

摘要

The binomial tree model, an important method of pricing options, is often used to depict the entire process of how the price of the underlying asset changes. This report mainly focuses on different binomial pricing models for European and American options. The analysis combines rigorous mathematical deductions with simulation processes in Python. As a result, the report summarizes detailed formulae for pricing European options and conditions for exercising American options early.

關鍵字

The binomial tree model ； Pricing option ； Exercising American option early ； Python

參考文獻

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