Ad hoc Geek

private function getPrice(  N:Number, //Number of steps
                            T:Number, //Time to expiry (in years)
                            S:Number, //Spot price of underlying
                            K:Number, //Option strike
                            v:Number, //Volatility of underlying
                            r:Number //risk-free rate 
                         ):Number
{
 
    var dt:Number = T/N; //one time step
 
    var u:Number = 1 + v*Math.sqrt(dt); //up-tick
    var d:Number = 1 - v*Math.sqrt(dt); //down-tick
    var p:Number = 0.5 + r*Math.sqrt(dt)/(2*v); //risk-neutral prob. of up-tick
    var df:Number = 1/(1+r*dt); //discount factor over 1 time step, dt
 
    var optionValues:Array = new Array(N+1);
 
    //populate the tree (for N-steps there will be N+1 values)
    var i:int, j:int, ST:Number;
    for (i=0; i < N+1; i++) 
    {
        ST = spot.value * Math.pow(u, i) * Math.pow(d, N-i);
        optionValues[i] = (ST > K)? ST - K : 0;
    }
 
    //now work backwards to get expected option value at each previous stage
    for (i=N; i >= 0; i--)
    {
        for(j=0; j<i; j++)
        {
            optionValues[j] = (p*optionValues[j+1] + (1-p)*optionValues[j])*df;
        }
    }
 
    return optionValues[0]; 
}