A classic on implementing option models is Les Clewlow and Chris Strickland: “Implementing Derivatives Models” (ISBN 0471966517)

Some error corrections of the first edition:

Page | Row | Correction |

24 | 2 from top in figure 2.12 | set coeffi |

70 | 4 from bottom in figure 3.13 | for j =Nj-2 downto -Nj |

70 | Insert before last row of figure 3.13 | C[1,-Nj] = C[1,-Nj + 1] - lambda_L |

75 | 4 from bottom in figure 3.16 | for j =Nj-2 downto -Nj |

75 | Insert before last row of figure 3.16 | C[1,-Nj] = C[1,-Nj + 1] - lambda_L |

85 | 2 from bottom in figure 4.2 | SD = sqrt( ( |

89 | 2 from bottom in figure 4.5 | SD = sqrt( ( |

99 | Delete row 9 from top | lnS = ln(S) = 4.6052 |

I started to implement some of the algorithms in this book with Excel VBA.