Binomial-tree Option Calculator

             

   Print input data in the plots.

Input variables Input values Output Result Scaled Value
Underlying price: Option value:
Strike price: Delta:
Maturity: Gamma:
Interest rate (%): Vega:
Volatility (%): Rho:
Number of steps: Theta:
Simulated price: Implied Vola:
Probability to reach In-The-Money  
Probability in %:
Days to maturity:


Graphics:

           

Plot the avista price to keep the option value constant. Or the avista price as function of the number of binomial steps. Remark! The Leisen-Reimer method (LR) is made for odd step calculations only!.

         


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If you have additional suggestions you would like to see on this page please send me a note to
jan.roman@prosoftware.se.