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Binomial Option Pricing One-Step Tree Calculator

Risk-neutral pricing of a European option on one step.

Prices a European call/put option using a one-step binomial tree. Up factor u, down factor d = 1/u, risk-neutral probability p = (e^(rΔt) − d)/(u − d).

Nadia Almasri By Nadia Almasri
Published Last reviewed 1 min read

Inputs

$
$
%
yr

Results

Enter values and click Calculate to see results.
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How to use this calculator

  1. Fill in the inputs above using the units you already have.
  2. Values update automatically as you type — no submit button needed.
  3. Hover any result row for the underlying formula and intermediate values.

Formula

p = (e^rΔt − d)/(u−d); C = e^(−rΔt)[p·C_u + (1−p)·C_d]

In depth

Prices a European call/put option using a one-step binomial tree. Up factor u, down factor d = 1/u, risk-neutral probability p = (e^(rΔt) − d)/(u − d).