Tian Class Reference

#include <ql/Lattices/binomialtree.hpp>

Inheritance diagram for Tian:

Inheritance graph
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List of all members.

Detailed Description

Tian tree: third moment matching, multiplicative approach


Public Member Functions

 Tian (const Handle< DiffusionProcess > &process, Time end, Size steps, double strike)
double underlying (Size i, Size index) const
double probability (Size, Size, Size) const

Protected Attributes

double up_
double down_
double pu_
double pd_


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