Overview - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English

The Cox-Ross-Rubinstein Binomial Tree method is a numerical implementation of the assumptions in the Black-Scholes financial model. The detail is described in the “Numerical Methods” section here.

The equations for obtaining the option price can be found online (see for example https://en.wikipedia.org/wiki/Binomial_options_pricing_model) and will not be reproduced here.