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diffusion_branching

Function diffusion_branching 

Source
pub fn diffusion_branching(
    nu: f64,
    sigma: f64,
    dt: f64,
    dx: f64,
) -> TrinomialBranch
Expand description

Moment-matched branching for a constant-coefficient diffusion dx_t = nu dt + sigma dW on spacing dx (Boyle / Kamrad-Ritchken: dx = sigma sqrt(3 dt) gives the classic 1/6, 2/3, 1/6 weights at zero drift). Same rule at every node — the equity-style tree.