mark-t-conrad / binomial-trees

Binomial Pricing Trees in R. Plotting through graphviz. Vanilla European and American.

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Binomial Pricing Trees in R

This script constructs a recombining tree for pricing vanilla European and American options and (optionally) outputs the tree in a format suitable for plotting with graphviz. The code is written for clarity. New payoff functions can be easily added. For a detailed explanation and more examples, see this blog post.

Example:

Binomial Tree Example

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Binomial Pricing Trees in R. Plotting through graphviz. Vanilla European and American.


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