Binomial Option Pricing Game (CRR Model)

Time step: Δt = T / N
Up factor: u = exp(σ × √Δt)
Down factor: d = 1 / u = exp(−σ × √Δt)
Risk-free growth: R = exp(r × Δt)
Risk-neutral probability: p = (R − d) / (u − d)

Explore how option prices converge to the Black-Scholes value using the CRR Binomial Model.
Use 1, 2, 3, 4, 10, and 1000 steps. Compare call and put pricing with theory and real-world insights.

S₀: K: r (annual): T (years): σ (volatility):