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Implementing Binomial Trees
Author(s) -
Manfred Gilli,
Enrico Schumann
Publication year - 2009
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1341181
Subject(s) - binomial (polynomial) , statistics , mathematics , computer science , econometrics , geography
This paper details the implementation of binomial tree methods for the pricing of European and American options. Pseudocode and sample programmes for Matlab and R are given.

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