Chjan C. Lim
Lattice Method Option Pricer
This is an option pricer written by a past student of mine in a Finance course, Richard Sanders. It prices American Options using the Lattice Method for pricing options. An optimal number for the 'steps' field would be between 64 and 256 steps. For sufficiently short periods of time, however, as few as 16 steps can be enough for an accurate price.
The source is available in two parts:
Questions? Comments? Feel free to send mail to sander@rpi.edu and let the author know.
Web Master
Web page designed by Joseph Nebus ( nebusj@rpi.edu ).
Last updated 29 May 2001.
|
|
