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A classic on implementing option models is
Les Clewlow and Chris Strickland: Implementing Derivatives Models (ISBN 0471966517)
An important hint: Download the error corrections for the first edition. [You will have to register first.]
I started to implement some of the algorithms in this book with Excel VBA ©. The Excel 2007 © file is provided here. Open and use at your own risk, please read my disclaimer.
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