BinomialInitByVolatility Method (Double, Double, Double, Double, Double, OptionType, OptionStyle, Int32, Double)

public void InitByVolatility(
	double stockPrice,
	double strikePrice,
	double riskFreeRate,
	double annualDividendYield,
	double timeToMaturity,
	OptionType optionType,
	OptionStyle optionStyle,
	int steps,
	double volatility
)

Parameters

stockPrice

Type: SystemDouble
Stock price of the underlying asset.

strikePrice

Type: SystemDouble
Strike price of the undelying asset.

riskFreeRate

Type: SystemDouble
Risk-free interest rate (e.g. value 0.02 means that yearly risk-free income equals to 2 % of initial money amount if there is no capitalization of interest).

annualDividendYield

Type: SystemDouble
Annual dividend yield of the underlying asset (sense of this value is analogous to sense of riskFreeRate value).

timeToMaturity

Type: SystemDouble
Time to the expiration date measured in years.

optionType

Type: FinMath.DerivativesOptionType
Type of option (call/put).

optionStyle

Type: FinMath.DerivativesOptionStyle
Option style (European/American).

steps

Type: SystemInt32
Number of steps in binomial model.

volatility

Type: SystemDouble
Volatility of the underlying asset.

Reference