Trinomialtree

• To: mathgroup at smc.vnet.net
• Subject: [mg30920] Trinomialtree
• From: Yannis.Paraskevopoulos at ubsw.com
• Date: Thu, 27 Sep 2001 02:16:37 -0400 (EDT)
• Sender: owner-wri-mathgroup at wolfram.com

```Hi all,

I have been having problem executing the following code. Could you
please tell me what am I doing wrong?

Best regards and thanks in advance

============Mathematica Code===============================================

TrinomialTree[AmEurFlag_Symbol,CallPutFlag_Symbol,S_,X_,T_,r_,b_,v_,n_]: =
Module[{OptionValue,dt,pu,pd,pm,u,d,Df,z},
dt=T/n;
u=Exp[v*Sqrt[2*dt]];
d=Exp[-v*Sqrt[2*dt]];
pu=((Exp[b*dt/2]-Exp[-v*Sqrt[dt/2]])/(Exp[v*Sqrt[dt/2]]-
Exp[-v*Sqrt[dt/2]]))^2;
pd=((Exp[v*dt/2]-Exp[b*Sqrt[dt/2]])/(Exp[v*Sqrt[dt/2]]-
Exp[-v*Sqrt[dt/2]]))^2;
pm=1-pu-pd;
Which[CallPutFlag=c,z==1,CallPutFlag=p,z==-1];
OptionValue=
Table[Max[0,z*(S*u^Max[i-n,0]*d^Max[n*2-n-i,0]-X)],{i,0,2*n}];
Which[AmEurFlag=e,OptionValue=Table[(pu*OtoptionValue[[i+2]]
+pm*OptionValue[[i+1]]+pd*OptionValue[[i]])*Df,{j,n-1,
0,-1},{i,0,j*2}],AmEurFlag=a,
OptionValue=
Table[Max[(z*(S*u^Max[i-j,0]*d^Max[j*2-j-i,0]-X)),(pu*
OptionValue[[i+1]]+pd*OptionValue[[i]])*Df],{j,n-1,
0,-1},{i,0,j*2}]];
OptionValue
]

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```

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