The Option Trading Website
| |||||
> Home
> Pricing Models
> Trinomial Model : A first approach
 Trinomial Model : A first approach
Issued on January 04 2011 par Strategies-options.com
Numerical models are a big family. Trinomial model is one of the son.
We saw previously that european style option can be priced with little effort using the binomial model.
We can find a very accurate value as far as we take a great number of time step. The flexibility of that model was to be able to price a large variety of options, european as american ones. I - Modifications This time, one takes 3 states for the asset level. The asset can go up, down or remain the same. Notation : σ annualized volatility T maturity n number of time step t length of time per step (t=T/n) r risk free rate over the maturity q dividend yield Y=r-q the cost of carry u up factor d down factor m=1 steady factor pu : probability for an up move pd :probability for a down move pm :probability for a stable move II - Expressions Thus,   The best way to grasp this method is to do it on a spreadsheet. Next : Trinomial Model : On A Spreadsheet ! Previous : Binomial Model: VBA Code or Black & Scholes: Let's Price With It ! Related Pdf : - Between Binomial and Trinomial Option Pricing Models - The adaptive mesh model: a new approach to efficient option pricing - Option Pricing: Lattice Models Revisited OPTIONS PRICING MODEL - INDEX OPTIONS PRICING MODEL - INDEX OPTIONS PRICING MODEL - CHAPTER I OPTIONS PRICING MODEL - CHAPTER II OPTIONS PRICING MODEL - CHAPTER III Strategies-options.com |
Other articles
- Relationships Between Option Sensitivities -
Relationships Between Option Sensitivities - CHAPTER III
Relationships between sensitivities
- Options 101 -
Volatility surfaces : a first attempt
Implied volatility is neither constant for every strike, nor for every expiry.
- Currency Options Trading Strategies -
Forex Options Strategy - EUR / USD - OTM Butterfly Spread DEC11 ( 8th Update)
Here are some profits on our Butterfly spread options.
- Futures and Equity Options Trading Strategies -
CAC 40 Ratio BackSpread (10th Update)
€ + 1722.30 for our Ratio Backspread this week.
- Futures and Equity Options Trading Strategies -
CAC 40 Ratio BackSpread (9th Update) bis
We were waiting for...it happened ! Our Ratio Backspread makes profits
|
Strategies-Options.com - © 2009 - 2012 Tous Droits réservés
|
|
|
|
|
|
|
|
| www.strategies-options.com est un site d'éducation et de formation sur les marchés dérivés, en particulier les options, les options binaires, les warrants, les turbo warrants et les certificats.
Même si nous faisons notre maximum pour produire du contenu de qualité, nous vous remercions de nous contacter si vous remarquiez une erreur afin que nous puissions la corriger le plus rapidement possible. Les stratégies présentées ne sont en aucun cas des conseils en investissements, mais elles servent à illustrer notre propos dans un but strictement éducatif. Elles sont basées sur notre expérience de ces marchés. Vous êtes responsables de l'utilisation de ces stratégies dans l''éventualité où vous souhaiteriez les reproduire. Il reste strictement interdit de diffuser, reproduire ou publier de quelque manière que ce soit tout ou partie du contenu du site www.strategies-options.com, sous quelque forme rédactionnelle, graphique ou d'image, que ce soit, sans notre consentement. |
 |