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Cox-Ross-Rubenstein Pricing Calculator

<-- Stock Price
<-- Ex. Price
<-- Expire Time
<-- Volatility
<-- Risk Free %
   

How does the Cox-Ross-Rubenstein Pricing Calculator work?

Using the Cox-Ross-Rubenstein method, this calculates the call price and put price of an option.
This calculator has 5 inputs.

What 4 formulas are used for the Cox-Ross-Rubenstein Pricing Calculator?

  1. Number of binomial branches (n) = 2t
  2. ev√t/n
  3. d = 1/u
  4. p = (rr - d)/(u - d)

For more math formulas, check out our Formula Dossier

What 7 concepts are covered in the Cox-Ross-Rubenstein Pricing Calculator?

call option
an option to buy assets at an agreed price on or before a particular date
cox-ross-rubenstein pricing
a multi-period market model
factorial
The product of an integer and all the integers below it
option
a contract which conveys to its owner, the holder, the right, but not the obligation, to buy or sell a specific quantity of an underlying asset or instrument at a specified strike price on or before a specified date
price
the amount of money expected, required, or given in payment for something
put option
an option to sell assets at an agreed price on or before a particular date
stock
the shares of which ownership of a corporation or company is divided