Binomial option pricing model calculator for European and American call and put options. Estimate theoretical option values with a binomial tree using stock price, strike price, volatility, risk-free rate, dividend yield, time to maturity, and time steps.
This binomial tree calculator supports both European and American exercise styles. You can price options with the standard Cox-Ross-Rubinstein volatility setup or enter custom up and down factors directly.
Binomial Tree Setup
For the CRR specification, the tree uses equal time steps, an up factor, a down factor, and a risk-neutral probability at each node:
$$\begin{aligned}
\Delta t &= \frac{T}{N} \\
u &= e^{\sigma \sqrt{\Delta t}} \\
d &= e^{-\sigma \sqrt{\Delta t}} \\
p &= \frac{e^{(r-q)\Delta t} - d}{u - d}
\end{aligned}$$
