Rs
Derivatives Pricing in Rust
Module 10Greeks & TreesLesson 6 of 730 min

Binomial Tree (CRR)

Cox-Ross-Rubinstein European call.

Steps

u=e^{σ√Δt}, d=1/u

p*=(e^{rΔt}-d)/(u-d)

Backward induction with discount.

Check

N=200 ≈ BS ~10.45 for ATM ref params.

Challenge

American put: max(exercise, continuation) at each node.

Tips
  • More steps → closer BS
  • O(n²) nodes
  • Reuse buffers for speed

Try it live

Binomial Tree (CRR)Rust 2021
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Output
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