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QuantLib::ExtendedTian – Tian tree: third moment matching, multiplicative approach
Synopsis
#include <ql/experimental/lattices/extendedbinomialtree.hpp>Inherits ExtendedBinomialTree< ExtendedTian >.
Public Member Functions
ExtendedTian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)Real underlying (Size i, Size index) const
Real probability (Size, Size, Size branch) const
Protected Attributes
Real up_Real down_
Real pu_
Real pd_