Nothing
EuropeanCallBE <- function(S0, X, r, tau, sigma, M = 101) {
# compute constants
dt <- tau / M
u <- exp(sigma*sqrt(dt))
d <- 1 / u
p <- (exp(r * dt) - d) / (u - d)
# initialise asset prices at maturity (period M)
C <- pmax(S0 * d^(M:0) * u^(0:M) - X, 0)
# log/cumsum version
csl <- cumsum(log(c(1,1:M)))
tmp <- csl[M+1] - csl - csl[(M+1):1] + log(p)*(0:M) + log(1-p)*(M:0)
C0 <- exp(-r*tau)*sum(exp(tmp)*C)
C0
}
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