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Derivative Pricing using Binomial Trees

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This course focuses on an alternative method of implementing a two-dimensional binomial tree compared to the traditional method of building a binomial tree in excel 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.

Computational Finance – EXCEL Examples

1 min read

1. Calibration of CIR Model Example – Buy Now
2. Duration Convexity Example – Buy Now
3. Monte Carlo Simulation – Commodity – Example – Buy Now
4. Monte Carlo Simulation – Currency – Example – Buy Now
5. Monte Carlo Simulation – Equity – Example – Buy Now
6. Pricing Options – Black Scholes Example – Buy Now
7. Pricing Options – Binomial Tree Example – Buy Now