ExtendedCoxRossRubinstein (3) - Linux Manuals

ExtendedCoxRossRubinstein: Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

NAME

QuantLib::ExtendedCoxRossRubinstein - Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

SYNOPSIS

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >.

Public Member Functions

ExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)

Protected Member Functions

Real dxStep (Time stepTime) const

Real probUp (Time stepTime) const

Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

Author

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