Error #Value!, vba code trinomial model, Option Put American

[Paul_Hossler]

Can't help with math, but in

For State = 0 To Index

I think the (state + 2) caused it to run off the edge

I added a - 2 to the For and it at least runs and doesn't give an error

Capture.JPG

Option Explicit

Function Mon_AmericanPut_Trinomial(S As Double, X As Double, T As Double, rf As Double, sigma As Double, n As Long) As Double
Dim Prix_t_plus_1() As Double, delta_t As Double
Dim up As Double, down As Double, r As Double
Dim Prix_t() As Double
Dim Pu As Double, Pd As Double, Pm As Double
Dim State As Long, Index As Long
ReDim Prix_t_plus_1(n)
delta_t = T / n
up = Exp(sigma * Sqr(3 * delta_t))
down = 1 / up
r = Exp(rf * delta_t)
Pu = (r - down) / (up - down)
Pd = (up - r) / (up - down)
Pm = 1 - Pu - Pd
For State = 0 To n
     Prix_t_plus_1(State) = Application.Max(X - S * _
     up ^ State * down ^ (n - State), 0)
Next State
For Index = n - 1 To 0 Step -1
     ReDim Prix_t(Index)
     For State = 0 To Index - 2      '   <<<<<<<<<<<<<<<<<<<<<
          Prix_t(State) = Application.Max(X - S * up ^ State * down ^ (Index - State), _
          (r) ^ (-1) * ((Pd) * Prix_t_plus_1(State) + (Pm) * Prix_t_plus_1(State + 1) + (Pu) * Prix_t_plus_1(State + 2)))
     Next State
     ReDim Prix_t_plus_1(Index)
     For State = 0 To Index
         Prix_t_plus_1(State) = Prix_t(State)
    Next State
Next Index
Mon_AmericanPut_Trinomial = Prix_t(0)
End Function