Binomial Option Pricing Calculator
Price American and European options with the Cox-Ross-Rubinstein binomial tree — watch the price converge as steps increase, with delta and gamma.
Option Parameters
e.g. 0.5 = 6 months
Pricing Results
Option Price
–
Delta
–
Gamma
–
Intrinsic Value
–
Frequently Asked Questions
What is the binomial model?
The stock can move up or down each small time step. Working backward from expiry through the tree gives the arbitrage-free option price. As steps increase, it converges to Black-Scholes for Europeans.
Why price American options with binomial?
Black-Scholes cannot handle early exercise. The binomial tree checks at every node whether exercising now beats holding — essential for American puts and dividend-paying calls.
How many steps do I need?
100 steps is accurate to ~$0.01 for most options. The convergence chart shows the price stabilizing — if it still wiggles at 500 steps, check your inputs.
Disclaimer: CRR binomial model for education. Assumes constant volatility and rates, no dividends. Real option prices reflect skew, discrete dividends and market frictions.