Dryad: Binomial Tree in F#


The Code Project has some C# code which provides a basic American option pricing. hubFS has a more interesting code fragment in F#. Computational Finance Using C and C# looks like it might be worth ordering as well for my quest to push Dryad to the extreme.

~ by mdavey on May 18, 2010.

2 Responses to “Dryad: Binomial Tree in F#”

  1. It’s a good book.

  2. Here’s an Excel spreadsheet to calculate the value of an American Option using a Binomial method. You can aslo view the pricing lattice: http://investexcel.net/1095/binomial-tree-american-option/

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