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POST
/
quantlib
/
pricing
/
binomial
/
bermudan
Binomial Tree Bermudan Option
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/pricing/binomial/bermudan \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "strike": 105,
  "risk_free_rate": 0.05,
  "dividend_yield": 0.02,
  "volatility": 0.25,
  "time_to_maturity": 1,
  "n_steps": 100,
  "option_type": "call",
  "exercise_dates": [
    0.25,
    0.5,
    0.75,
    1
  ],
  "method": "CRR"
}
'
{
  "success": true,
  "data": {
    "price": 7.923,
    "exercise_dates": [
      0.25,
      0.5,
      0.75,
      1
    ],
    "method": "CRR"
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
spot
number
required

Current price of the underlying asset

Example:

100

​
strike
number
required

Strike price of the option

Example:

105

​
risk_free_rate
number
required

Risk-free interest rate (annualized, decimal format)

Example:

0.05

​
volatility
number
required

Annualized volatility (decimal format)

Example:

0.25

​
time_to_maturity
number
required

Time to expiration in years

Example:

1

​
exercise_dates
number[]
required

List of times (in years) when early exercise is allowed

Example:
[0.25, 0.5, 0.75, 1]
​
dividend_yield
number
default:0

Continuous dividend yield (annualized, decimal format)

Example:

0.02

​
n_steps
integer
default:100

Number of time steps in the binomial tree

Example:

100

​
option_type
enum<string>
default:call

Type of option

Available options:
call,
put
Example:

"call"

​
method
enum<string>
default:CRR

Binomial tree method

Available options:
CRR,
JR,
LR,
TIAN
Example:

"CRR"

Response

Successful calculation

​
success
boolean
Example:

true

​
data
object