bsmlattice.hpp

Langue: en

Autres versions - même langue

Version: 169793 (fedora - 06/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/methods/lattices/bsmlattice.hpp - Binomial trees under the BSM model.

SYNOPSIS


#include <ql/methods/lattices/binomialtree.hpp>
#include <ql/methods/lattices/lattice1d.hpp>

Classes


class BlackScholesLattice< T >
Simple binomial lattice approximating the Black-Scholes model.

Detailed Description

Binomial trees under the BSM model.

Author

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