AmericanBinomPut
==============================================

Purpose
----------------
Prices American put options using the binomial method.

Format
----------------
.. function:: c = AmericanBinomPut(S0, K, r, div, tau, sigma, N)

    :param S0: current price.
    :type S0: scalar

    :param K: strike prices.
    :type K: Mx1 vector

    :param r: risk free rate.
    :type r: scalar

    :param div: continuous dividend yield.
    :type div: scalar

    :param tau: elapsed time to exercise in annualized days of trading.
    :type tau: scalar

    :param sigma: volatility.
    :type sigma: scalar

    :param N: number of time segments. A higher number of time segments will increase accuracy at the expense of increased computation time.
    :type N: scalar

    :return c: put premiums.

    :rtype c: Mx1 vector

Examples
----------------

::

    S0 = 718.46;
    K = { 720, 725, 730 };
    r = .0498;
    sigma = .2493;
    
    t0 = dtday(2001, 1, 30);
    t1 = dtday(2001, 2, 16);
    tau = elapsedTradingDays(t0, t1) /
        annualTradingDays(2001);
    
    c = AmericanBinomPut(S0, K, r, 0, tau, sigma, 60);
    print c;

produces:

::

    16.916361
    19.650636
    22.462440

Remarks
-------

The binomial method of Cox, Ross, and Rubinstein ("Option pricing: a
simplified approach," *Journal of Financial Economics*, 7:229:264) as
described in *Options, Futures, and other Derivatives* by John C. Hull is
the basis of this procedure.

Source
----------

finprocs.src