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bsmlattice.hpp File Reference


Detailed Description

Binomial trees under the BSM model.

Definition in file bsmlattice.hpp.

#include <ql/Lattices/tree.hpp>
#include <ql/Lattices/lattice.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::BlackScholesLattice
 Simple binomial lattice approximating the Black-Scholes model. More...


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