| Linux | Codecov |
|---|---|
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Binomial Tree Option Calculator
This is a very generic binomial tree calculator. The calculator can be used to price American and European style options for any payoff and any single dimensional SDE of the form dS=alpha(S, t)dt+sigma(S, t)dW_t.
Requires 4 functions:
- The ratio of drift over volatility: (alpha(S, t)/sigma(S, t))
- The derivative of sigma with respect to the underlying: sigma'(S, t)
- The discount factor
- The payoff function
To demonstrate the flexibility, the tests compute the Black Scholes model price and a bond price under a CIR process.
Speed
This library takes roughly .4 seconds compared to .7 seconds for my C++ library for a 5000 step European call option.