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Binomial Option Pricing Model
Description
Prices an option with a Cox Ross Rubinstein binomial lattice built out in the worksheet, with up and down factors, the risk neutral probability and every node value in visible cells rather than inside one function.
Because each node is exposed, American style early exercise can be tested at every step, which is the reason to reach for a lattice instead of a closed form model. Enter strike, time to expiry, volatility, rate and dividend yield, and pull the underlying's last price from MarketXLS. Raising the step count shows the price converge.
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Market data in your Excel sheets
1 billion usable data points on stocks, options, ETFs, and fundamentals, with simple Excel formulas.
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