Excessive branching in trinomial trees when a time step is unusually small

lballabio / QuantLib

The QuantLib C++ library

http://quantlib.org

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Excessive branching in trinomial trees when a time step is unusually small #364

Open lballabio opened 6 years ago

lballabio commented 6 years ago

See https://sourceforge.net/p/quantlib/bugs/125/ by Dilip Mandal. Description in the attached file quantlib_question.pdf.

stale[bot] commented 5 years ago

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