Small framework to price one factor options using binomial lattices.
This project is part of my computational finance and C++ studies.
The design uses the layered approach:
- Layer 1 - Lattice model
- Layer 2 - Back and forward induction
- Layer 3 - Model and pricing functions
Asset/option calculation implements the Trigeorgis (TRG) model:
The lattice is implemented using boost UBLAS triangular matrix.