Cox-Ross-Rubinstein Tree Setup
The Cox-Ross-Rubinstein (CRR) model uses a binomial tree to represent the possible future prices of an underlying asset (such as a stock) over discrete time intervals. Setup a CRR equity options tree model using the following functions:
Functions
crrtimespec | Specify time structure for Cox-Ross-Rubinstein tree |
crrtree | Build Cox-Ross-Rubinstein stock tree |
stockspec | Create stock structure |
Topics
- Understanding Equity Trees
Financial Instruments Toolbox™ supports five types of recombining tree models to represent the evolution of stock prices.
- Pricing Equity Derivatives Using Trees
Pricing functions calculate the price of any set of supported instruments based on a binary equity price tree, an implied trinomial price tree, or a standard trinomial tree.
- Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use
treeviewerto examine tree information for a Hull-White tree when you price a European callable bond.
