compute the local volatility at the given node of a binomial/trinomial tree - Maple Help

Online Help

All Products    Maple    MapleSim


Home : Support : Online Help : Mathematics : Finance : Lattice Methods : Finance/GetLocalVolatility

Finance[GetLocalVolatility] - compute the local volatility at the given node of a binomial/trinomial tree

Calling Sequence

GetLocalVolatility(T, i, j, r)

Parameters

T

-

binomial or trinomial tree data structure

i

-

positive integer; time step

j

-

positive integer; node index

r

-

discount rate

Description

• 

The GetLocalVolatility command returns the local volatility for node j at level i of the tree T. See GetDescendants for more details about node indexing.

Examples

withFinance:

T:=TrinomialTree5,1,2,3,4,5,6,7

T:=moduleend module

(1)

TreePlotT,thickness=3,gridlines=true

GetLocalVolatilityT,3,3,0.03

0.1550744237

(2)

See Also

Finance[BinomialTree], Finance[BlackScholesBinomialTree], Finance[BlackScholesTrinomialTree], Finance[GetDescendants], Finance[GetProbabilities], Finance[GetUnderlying], Finance[ImpliedBinomialTree], Finance[ImpliedTrinomialTree], Finance[SetProbabilities], Finance[SetUnderlying], Finance[TrinomialTree]


Download Help Document

Was this information helpful?



Please add your Comment (Optional)
E-mail Address (Optional)
What is ? This question helps us to combat spam