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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