Binomial Tree Bermudan Option
Price Bermudan options using binomial trees. Bermudan options can be exercised only on specific dates (a middle ground between European and American).
Exercise Dates: Must specify list of times (in years) when early exercise is permitted.
Use Cases:
- Price Bermudan swaptions (common in interest rate markets)
- Value callable bonds with specific call dates
- Price employee stock options with vesting schedules
- Structure custom exercise schedules
Example: A 1-year option exercisable quarterly: exercise_dates = [0.25, 0.5, 0.75, 1.0]
Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]
Authorizations
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Body
Current price of the underlying asset
100
Strike price of the option
105
Risk-free interest rate (annualized, decimal format)
0.05
Annualized volatility (decimal format)
0.25
Time to expiration in years
1
List of times (in years) when early exercise is allowed
Continuous dividend yield (annualized, decimal format)
0.02
Number of time steps in the binomial tree
100
Type of option
call, put "call"
Binomial tree method
CRR, JR, LR, TIAN "CRR"
