Binomial tree pricing (option price in discrete model)

Input
u
d
r
n
Option type
Strike K
Spot price
Time
Output
Option price

1.01
0.99
0.01
10
2 (call=1, put=2)
100
100
1
0.79346557

Binomial tree pricing as approximation

Input
u
d
r
n
Option type
Strike K
Spot price
Time
Option price
BS-Price

1.01283073
0.9875293
0.045
500 <= 1000

r*
delta_t

1 (call=1, put=2) helpflag

172.35
172.35
2
26.8828429
26.8900499

Differences
Absolute diff.
Relative diff.

Continuous input

0.00720697
0.03%

0.2
0.025
0.004
1

Do not touch cells with these colours!!!!

0
Input cells
Auxiliary cells
Computed Prices
Differences between methods

ls with these colours!!!!

Binomial tree pricing as approximation (American puts and calls)

Input
u
d
r
n
Option type
Strike K
Spot price
Time
Option price
BS-Price

1.02009932
0.98010066
0.01
100 <= 1000

Continuous input

r*
delta_t

1 (call=1, put=2) helpflag

100
100
1
8.44282084
8.43331869

0.2
-0.01
0.01
1

Do not touch cells with these colours!!!!

Differences
Absolute diff.
Relative diff.

0.00950215
0.11%

Differences are only relevant for

calls, not for puts !

0
Input cells
Auxiliary cells
Computed Prices
Differences between methods

s with these colours!!!!

Binomial tree pricing as approximation (One-sided down barriers)

Input
u
d
r
n
Option type
Strike K
Spot price
Time
Option price
BS-Price

1.0067131367
0.993296863
0.01
2000 <=2000
1 (out=1, in=2)
80
100
1

Continuous input

r*
delta_t
helpstrike

Barrier
0.3

10

-0.035
0.0005
80

24.113929807
24.11485017

Differences
Absolute diff.
Relative diff.

0.000920363
0.00%

BS-down-out
BS-down-in
BS-call

24.11485017
0
24.11485017

Do not touch cells with these colours!!!!

Binomial_barrier

0
Min value tree
0.00014392

Input cells
Auxiliary cells
Computed Prices
Differences between methods

with these colours!!!!

11.85 1.43399622
1.5 1.37089678 0.03771395
1.31057387
1.25290532
1.19777433
1.14506924
1.09468331
1.04651449
1.00046522
0.95644223
11.809321