Hoadley Trading & Investment Tools:  Binomial/Black-Scholes Convergence
Analysis
Black-Scholes price
2.3859
Range of steps considered 10 - 150
For steps in the range 147 - 150:
Maximum binomial price  2.3915
Average binomial price  2.3856
Minimum binomial price  2.3796
Strike Price: Volatility: %
Stock Price: Interest rate: %
Days to expiration: Option Type: Call
Put
Minimum number of binomial  steps (2-30)
 

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