Siddhant- A Journal of Decision Making
  • Year: 2010
  • Volume: 10
  • Issue: 1

Using the Vector Class Template of C++ to Implement Binomial Option Pricing Algorithm

  • Author:
  • Dipti Ranjan Mohanty, Susanta Kumar Mishra
  • Total Page Count: 4
  • Published Online: Sep 1, 2012
  • Page Number: 110 to 113

*Securities and Capital Markets Domain Consulting Group: Wipro Technologies, Bangalore, India

**Professor: Finance & Strategy, Krupajal Business School, Bhubaneswar, India

Abstract

Option valuation is considered among the more conceptually challenging areas in finance. The added complexity of the Binomial model for option pricing is that as it is computationally intensive. Hence, any computer program created to use the binomial model is slow. We propose a programming method using the Vector class template to make the program more efficient.