Black-Scholes converted for Binomial Tree
Originally published: 20/06/2016 09:03
Publication number: ELQ-96236-1
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Black-Scholes converted for Binomial Tree

Converts the standard deviation input in the Black-Scholes model to up and down movements in the binomial tree.

Description
This model enables you to convert an annualized standard deviation in the Black-Scholes model to get up and down movements in the binomial tree.

Needed inputs:
- Annualized Standard deviation
- Riskless rate
- Dividend yield
- Number of periods each year

- Value of option today

Note: this model is being shared with the authorization of Professor Aswath Damodaran from NYU Stern Business School (www.damodaran.com)

This Best Practice includes
1 Excel Model File

Prof. Aswath Damodaran offers you this Best Practice for free!

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Further information

The objective of this model is to get the following outputs:
- Value of options one, two, three, four and five periods from now


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