Hello Nologlove, I found a formal error in your code: call dynamic_array(tree, n+1, n+1); implies that tree contains n+1 elements but do i=0 to N; tree[i+1,N+1]=max(0 , E*(u**i)*(d**(N-i)) - F); end; uses n+2 elements. Changing call dynamic_array(tree, n+2, n+2); runs the program without errors but with a few notes. HTH, SPR ... View more

You need to review the difference between the routine CALL SYMPUTX and the use of %LET in a DATA step. It is not possible to assign DATA step variable's value to a macro variable using a %LET - the DATA step routine SYMUTX is used instead. It is very important to understand why. in your program (snippet shown here). [pre] data b; set data1; %let s=eq_price; * underlying security price; [/pre] the macro variable &S will contain the letters e-q-_-p-r-i-c-e, not the variable and not the value of the variable. This means that the %IF in the macro %P will always be false. ... View more

This is another version to calculate the implied bolatility until the put option price issame to opt_price(open markets price); but this way only use to SAS 9.2: data data1; input eq_price strike time opt_price intrate; datalines; 1108.48 995 0.041067762 0.8 0.01107094 1122.22 995 0.032854209 0.35 0.011018561 1123.67 995 0.030116359 0.3 0.01098864 1126.33 995 0.027378508 0.2 0.01092533 1131.92 995 0.024640657 0.2 0.010853256 1121.86 995 0.021902806 0.175 0.0108289 1127.23 995 0.013689254 0.075 0.010809861 1121.22 995 0.010951403 0.1 0.010954211 1122.22 1010 0.128678987 3.5 0.011561104 1123.67 1010 0.125941136 3 0.011490423 1126.33 1010 0.123203285 2.4 0.011465478 1131.92 1010 0.120465435 2.4 0.011459139 1121.86 1010 0.117727584 3.1 0.011313808 1127.23 1010 0.109514031 2.45 0.011324488 1121.22 1010 0.106776181 2.9 0.011172599 ; run; proc fcmp outlib=work.functions.samples; function blksch( strike, time, eq_price, intrate, volty ); return (blkshptprc( strike, time,eq_price, intrate, volty )); endsub; run; options cmplib=work.functions.samples; proc fcmp outlib=work.functions.samples; function impl_volty( opt_price, strike, time, eq_price, intrate); array opts[5] initial abconv relconv maxiter ( .5 .001 1.0e-6 100 ) ; bsvolty = solve( "blksch", opts, opt_price, strike, time, eq_price, intrate, .); return (bsvolty); put 'Option Implied Volatility:' bsvolty 'Initial value: ' opts[1] 'Solve status: ' opts[5]; endsub; run; data data2; set data1; implty=impl_volty(opt_price, strike, time, eq_price, intrate); run; In this version, I use B-S model to find the answer of implied bolatility, but,B-S model have function "blkshptprc( strike, time,eq_price, intrate, volty )" in SAS, and B-S model only use to price the euro options. In my macro prblem, the price of option is America options, it can not use B-S model, it must use binomial method to price. i did not find the function of "Binomial method " in SAS , so i use macro to calculat the America put price. Finally, i need help to slove this problem for any way! THX! Message was edited by: nolonglove Message was edited by: nolonglove Message was edited by: nolonglove ... View more