- QuantLib
- CoxRossRubinstein
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
#include <ql/methods/lattices/binomialtree.hpp>
Public Member Functions | |
CoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) |
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.