lrtimespec
Specify time structure for Leisen-Reimer binomial tree
Description
specifies a time structure for a Leisen-Reimer stock tree (TimeSpec
= lrtimespec(ValuationDate
,Maturity
,NumPeriods
)lrtree
).
Examples
Input Arguments
Output Arguments
References
[1] Leisen D.P., M. Reimer. “Binomial Models for Option Valuation – Examining and Improving Convergence.” Applied Mathematical Finance. Number 3, 1996, pp. 319–346.