ML Engineer MasterClass (April) | 6 seats left

Build a Binomial Tree for American Options

Build a Binomial Tree for American Options

Problem Statement

The Question

Interview question: "Implement a binomial tree pricer for an American put option. Given spot price S, strike K, risk-free rate r, continuous dividend yield q, volatility σ, expiry T, and number of steps N, compute the option price. Then extract the early exercise boundary and compute Delta and Gamma from the tree. Walk me through your derivation before you code."

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