The Cox-Ross-Rubinstein (CRR) Model is one of the most important models for option valuation.

This Use-Case prices an American option using a CRR tree. It also shows, how to use an external library of option pricing and how to speed-up this pricing task.

The following Excel sheet requires the Third Party product

FinAnSu – a free add-in for market data feeds (usually with 15 min delay).