Lib.rs

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Binomial Tree Option Calculator

This is a very generic binomial tree calculator. The calculator can be used to price American and European style options for any payoff and any single dimensional SDE of the form dS=alpha(S, t)dt+sigma(S, t)dW_t.

Requires 4 functions:

• The ratio of drift over volatility: (alpha(S, t)/sigma(S, t))
• The derivative of sigma with respect to the underlying: sigma'(S, t)
• The discount factor
• The payoff function

To demonstrate the flexibility, the tests compute the Black Scholes model price and a bond price under a CIR process.

Speed

This library takes roughly .4 seconds compared to .7 seconds for my C++ library for a 5000 step European call option. Benchmarks at https://danielhstahl.github.io/binomial_tree_rust/report/index.html.