What's new

YouTube T4-08: Binomial tree option price: American-style

Nicole Seaman

Chief Admin Officer
Staff member
Subscriber
An American-style option allows for early exercise; therefore, it must be worth more than the equivalent European option. To price the option with the binomial, we only need to modify the non-terminal nodes so that their value equals Max (expected discounted value, intrinsic value).

David's XLS is here: https://trtl.bz/2DcTVeo


YT sub small.png
 
Last edited:

Mwizere

New Member
Hello David,

I am a student in Actuarial Science;
Your video on Binomial tree option price: American-style (FRM T4-8) is fantastic!
Do you mind assisting in the event that it's a Bermudan put option that can be exercised mid-way through the year and at maturity?
What are the changes required in the formula?

Thank you
 

Attachments

  • CM2_Coursework_Calculations - Test.xlsx
    174.6 KB · Views: 3
Top