equity option pricing

[cgrady40]

if it is not given (so in practice) where does the up move size come from?

 

[S2000magician]

Thin air.
Or you might look at historical volatility and take an average price increase for the size of one period in your tree.

 

[cgrady40]

S2000magician wrote:
Thin air.
Or you might look at historical volatility and take an average price increase for the size of one period in your tree.

thanks

 

[S2000magician]

My pleasure.