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.

by Prof. Aswath Damodaran
Professor at NYU Stern School of Business

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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 business tool includes
1 Excel Model File