S was chosen uniformily from the range [50,100].
K was chosen uniformily in the range [0.8 S,1.2 S], conditional upon S.
T, r, delta, sigma were each generated independently and uniformly in the ranges:
    T in [0.1,5],
    r in [0,0.1],
    delta in [0,0.1],
    sigma in [0.1,0.6].

Each data set has 7 columns in the order S, K, T, r, delta, sigma, "true" price.

Pricing with 15000 binomial tree:

5000 call options

5000 put options

166491 available.

Pricing with 50000 binomial tree:

1000 call options

1000 put options

21504 available.

I can send you gzipped versions of the larger data sets if you contact me directly (magdon@cs.rpi.edu), and if you agree not to distribute it to anyone without my permission.

For citation purposes: Malik Magdon-Ismail, http://www.cs.rpi.edu/~magdon/data/am_op_data.html.