vba code for 3-D binomial array to value option?

Seamus · July 27th, 2003, 10:42 pm

trying to find some leads on where to best find some vba code for building three dimensional arrays for binomial option valuation. option depends on two underlying assets hence the binomial tree must be three dimensional. any suggestions may save my life. thank youseamus QuoteI don't think I know but Edward Woodward would!

Anthony · July 28th, 2003, 6:47 am

Check out the Espen Haug book page 122, it has the Rubinstein 3d binomial tree VBA code for various spread options.Hope this helps.

DavidJN · July 28th, 2003, 1:46 pm

Also try Clewlow and Strickland, "Implemening Derivatives Models: Numerical Methods", Wiley Series in Financial Engineering, 1998. Good stuff there.