Function OPTPrice

Function OPTPrice(N, K, T, stock, r, vol, H, OpType As String, ExType As String)

D_T = T / N
u = Exp(vol * D_T ^ 0.5)
dd = 1 / u
discnt = Exp(-r * D_T)
q = (discnt ^ -1 – dd) / (u – dd)

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Dim i, j As Integer

Dim S() As Double
ReDim S(N + 1, N + 1) As Double

For i = 1 To N + 1
For j = i To N + 1
S(i, j) = stock * u ^ (j – i) * dd ^ (i – 1)
Next j
Next i

Dim OPT() As Double
ReDim OPT(N + 1, N + 1) As Double

For i = 1 To N + 1
Select Case OpType
Case “C”
OPT(i, N + 1) = Application.Max(S(i, N + 1) – K, 0)
Case “P”
OPT(i, N + 1) = Application.Max(K – S(i, N + 1), 0)
End Select
Next i

For j = N To 1 Step -1
For i = 1 To j
Select Case ExType
Case “A”
If OpType = “C” Then
OPT(i, j) = Application.Max(discnt * (q * OPT(i, j + 1) + (1 – q) * OPT(i + 1, j + 1)), S(i, j) – K)
ElseIf OpType = “P” Then
OPT(i, j) = Application.Max(discnt * (q * OPT(i, j + 1) + (1 – q) * OPT(i + 1, j + 1)), K – S(i, j))
End If
Case “E”
OPT(i, j) = discnt * (q * OPT(i, j + 1) + (1 – q) * OPT(i + 1, j + 1))
Case “B”
If S(i, j) > H Then
OPT(i, j) = discnt * (q * OPT(i, j + 1) + (1 – q) * OPT(i + 1, j + 1))
Else
OPT(i, j) = 0
End If
End Select
Next i
Next j

OPTPrice = OPT(1, 1)
End Function