Hi everyone.I'm new to this forum, and I would like to throw out a question to all you seasoned quants. How much work is it to code a binomial tree for pricing european options? Are there any good books out there that teach you how to implement the code? Something for beginners would be nice.Thanks!

here is one way to do it in VBAPublic Function EuropeanBinomialPlainVanilla(CallPutFlag As String, S As Double, X As Double, T As Double, r As Double, b As Double, v As Double, n As Long) As Double Dim u As Double, d As Double, p As Double Dim Sum As Double, dt As Double, A As Double Dim j As Long dt = T / n u = Exp(v * Sqr(dt)) d = 1 / u p = (Exp(b * dt) - d) / (u - d) A = Int(Log(X / (S * d ^ n)) / Log(u / d)) + 1 Sum = 0 If CallPutFlag = "c" Then For j = A To n Sum = Sum + Application.Combin(n, j) * p ^ j * (1 - p) ^ (n - j) * (S * u ^ j * d ^ (n - j) - X) Next ElseIf CallPutFlag = "p" Then For j = 0 To A - 1 Sum = Sum + Application.Combin(n, j) * p ^ j * (1 - p) ^ (n - j) * (X - S * u ^ j * d ^ (n - j)) Next End If EuropeanBinomialPlainVanilla = Exp(-r * T) * SumEnd Function

Collector -Good to see you again.

Get a hold of: Financial Modelling in Excel and VBA by Jackson and StauntonLearned a lot from that book.

Another good one: Implementing Derivative Models Les Clewlow, Chris Strickland

QuoteOriginally posted by: PaperCutCollector -Good to see you again.For those who don't know, the collector's book is:The Complete Guide to Option Pricing Formulas by Espen Gaarder HaugPublisher: McGraw-Hill ProfessionalPublished: 1997Format: Disk + Hb

Collector,Thanks for the detailed answer. Do you have any other recommendations in terms of good books?

Thanks everyone for your help.What are the 3 most widely used books that deal with numerical/computational methods for derivative securities?I prefer books that are in C++ if they have to be language specific.

Modeling Derivatives in C++Justin LondonISBN: 0-471-65464-7link to wiley siteit's a good book with a wide view on the all the topics