This course focuses on an alternative method of implementing a two-dimensional binomial tree compared to the traditional method of building a binomial tree presented in most option pricing text books. The alternate approach is based on the techniques documented by Professor Mark Broadie at Columbia Business School as part of his coursework in Security Pricing and Computational Finance courses at Columbia University and allows us to extend a simple 3 step tree to a 50 – 100 step option pricing tree in a few minutes.
The course starts with pricing European calls and put options, followed by pricing American options and closes by reviewing option pricing for Knock out and Knock in (Sudden Death). We also review the special case of a down and in option.
- Options Pricing – Using binomial trees to price options in a spreadsheet
- Options Pricing – Pricing Call Options – Option pricing spreadsheet – Binomial trees
- Options Pricing – Pricing American Options – Calls and Puts – Spreadsheet implementation – Binomial trees
- Options Pricing – Pricing Put Options – Option pricing spreadsheet – Binomial trees
- Options Pricing–Exotics Options–Pricing a Capped Call–Binomial trees
- Options Pricing – Pricing Knockout exotic options – Sudden Death Options – Down and out call options
- Options Pricing – Binomial Trees – Pricing Sudden death Options – Down and in call options
If you would like to purchase and download the excel examples covered in this course, please check out our store for handy PDF course cheat sheet downloads and solved excel spreadsheets and templates. If you need an option and derivatives product refresher, please see the introductory and intermediate courses below on Derivatives and Options products.
Derivatives for Dummies – a first look at options and derivatives
A quick look at basic concepts and vanilla options as well as synthetic manufacturing of options at a higher level of detail. The Derivatives for dummies crash course is followed by an intermediate level course that reviews product variation and basic pricing concepts.