public double Evaluate(Func <double, double> evaluateFunc)
{
double optionPrice;
if (_upNode != null && _downNode != null)
{
optionPrice = _upProba * _upNode.Evaluate(evaluateFunc) + (1 - _upProba) * _downNode.Evaluate(evaluateFunc);
}
else
{
optionPrice = evaluateFunc(_spot);
}
//Console.WriteLine(String.Format("Spot {0} => Option price: {1}", _spot, optionPrice));
return(optionPrice);
}
static void Main(string[] args)
{
const int years = 1;
const int steps = 26;
const double deltaT = (double)years / (double)steps;
const double volatility = 1.0 / 100.0;
double u = Math.Exp(volatility * Math.Sqrt(deltaT));
const double s0 = 100;
const double strike = 90.0;
const double sureTx = 5.0 / 100.0;
double d = 1 / u;
double p = (Math.Exp(sureTx * deltaT) - d) / (u - d);
var node = new BinomialTreeNode(s0, u, d, p, 0, steps);
var result = node.Evaluate((s) => Math.Max(s - strike, 0));
System.Console.Write(result);
//Console.ReadLine();
}
