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- 10/18/15
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Hi,
I have computed a binomial american call option and would like to validate my results, could somebody tell me if they have the same answer as me? I compared my results to a few online calculators however they did not fully match 100%
americancallbinomial(102, 100, 0.05, 0.25, 2, 100);
102 is Stock
100 Stike
0.05 interest
0.25 Volatility
2 Expiry
100 steps in binomial
Answer:
call price 20.0375
delta 0.696366
gamma 0.00973585
rho 106.239
theta -5.71728
vega 50.4881
I have computed a binomial american call option and would like to validate my results, could somebody tell me if they have the same answer as me? I compared my results to a few online calculators however they did not fully match 100%
americancallbinomial(102, 100, 0.05, 0.25, 2, 100);
102 is Stock
100 Stike
0.05 interest
0.25 Volatility
2 Expiry
100 steps in binomial
Answer:
call price 20.0375
delta 0.696366
gamma 0.00973585
rho 106.239
theta -5.71728
vega 50.4881
