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Finance[GetLocalVolatility] - compute the local volatility at the given node of a binomial/trinomial tree
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Calling Sequence
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GetLocalVolatility(T, i, j, r)
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Parameters
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T
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binomial or trinomial tree data structure
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i
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positive integer; time step
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j
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positive integer; node index
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r
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discount rate
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Description
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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.
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Compatibility
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The Finance[GetLocalVolatility] command was introduced in Maple 15.
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See Also
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Finance[BinomialTree], Finance[BlackScholesBinomialTree], Finance[BlackScholesTrinomialTree], Finance[GetDescendants], Finance[GetProbabilities], Finance[GetUnderlying], Finance[ImpliedBinomialTree], Finance[ImpliedTrinomialTree], Finance[SetProbabilities], Finance[SetUnderlying], Finance[TrinomialTree]
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Download Help Document
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