org.jquantlib.experimental.lattices

Class ExtendedCoxRossRubinstein

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.experimental.lattices.ExtendedBinomialTree

org.jquantlib.experimental.lattices.ExtendedEqualJumpsBinomialTree

org.jquantlib.experimental.lattices.ExtendedCoxRossRubinstein

public class ExtendedCoxRossRubinstein
extends ExtendedEqualJumpsBinomialTree

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree

Constructor Summary

Constructors

Constructor and Description
ExtendedCoxRossRubinstein(StochasticProcess1D process, double end, int steps, double strike)

Method Summary

Methods inherited from class org.jquantlib.experimental.lattices.ExtendedEqualJumpsBinomialTree

probability, underlying

Methods inherited from class org.jquantlib.experimental.lattices.ExtendedBinomialTree

descendant, size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ExtendedCoxRossRubinstein

public ExtendedCoxRossRubinstein(StochasticProcess1D process,
                                 double end,
                                 int steps,
                                 double strike)