Binomial Options Pricing

Compute the arbitrage-free initial price of an option under the CRR binomial options pricing model.

• papo: price American put option
• peco: price European call option

To compile, run make. Running the programs with no arguments will show usage instructions.

References

1. S. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004
2. R.J. Williams, Introduction to the Mathematics of Finance, American Mathematical Society, 2006