- QuantLib
- ExtendedCoxRossRubinstein
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
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 |
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.