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Dependencies (can be installed with the opam pkg manager):

  • dune
  • core_kernel
  • stdio
  • str

Command line app

Prompts the user for inputs one by one and uses them to run the binomial pricing model and print results.

Instructions

cd ocaml
dune exec ./bin/cml_app.exe

Convergence example

Demonstrates how the binomial model and black scholes model converge on the same price as the resolution parameter for the binomial model is increased.

Instructions

  cd ocaml
  dune exec ./bin/converge_example.exe

Spot/Strike price example

Demonstrates how the prices change when the option is in/at/out of the money for both calls and puts.

Instructions

  cd ocaml
  dune exec ./bin/spot_strike_example.exe

Variance example

Demonstrates how the prices change when the variance of the underlying asset changes

Instructions

  cd ocaml
  dune exec ./bin/variance_example.exe