Analysis Techniques & Strategies

Binomial (Pricing Model)

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Input Information

Name Type Default Description
CarryingCosts Numeric 4.5 The interest expense for establishing a position.
EuroAmer01 Numeric 1 Calculate theoretical values for either American=1 or European=0 options
Branches Numeric 10 Number of calculation branches

Description

Binomial, also known as the Cox-Ross-Rubenstein model, may be used as an alternative to Black-Scholes to more accurately evaluate American style options.

The model is computationally intense and may cause your computer to slow down dramatically if you are running real-time.