Option Price Simulation

Binomial2

The value of the global variable $RecursionLimit is raised in order to accomodate the following option pricing calculation.

$RecursionLimit  = 1024;

This calculates the values of the option that are going to be used in the graphic animation below.

tbl = 
      Table[TheoreticalPrice[AmericanPutOption, 
          Binomial2[40, 45, 1/12, 5, 30, p]], 
{p, 1, 
          100}]

This plots the graphics. The graphics can be animated afterwards by first selecting the graphics and then by e.g. selecting "Cell -> Animate Selected Graphics" from the Mathematica menu. The speed of the animation can be controlled by the menu showing up in the notebook window, below to the left.

Do[ 
      ListPlot[ Take[ tbl, x],  PlotJoined  ->  True,  
        AxesLabel -> {"periods",  "price"},  
        PlotLabel -> "p: " <> ToString[x],  
        TextStyle -> {FontSlant -> "Italic",  FontSize -> 10},  
        PlotRange -> {{0, 105}, {5, 5.1}},  
        PlotStyle  ->  RGBColor[1,  0,  0],  ImageSize  ->  350, 
        Prolog  ->  
          Text[StyleForm["Copyright 1994-2002 Innova Financial \
Solutions", FontSize -> 10], {70, 5.01}]], {x, 5, 100, 5}]