Derman-Kani-Ergener-Bardhan discretized option helper class
This class is used with the BinomialDoubleBarrierEngine to
implement the enhanced binomial algorithm of E.Derman, I.Kani,
D.Ergener, I.Bardhan ("Enhanced Numerical Methods for Options with
Barriers", 1995)
note
This algorithm is only suitable if the payoff can be approximated
linearly, e.g. is not usable for cash-or-nothing payoffs.
Users of discretized assets should use these methods in
order to initialize, evolve and take the present value of
the assets. They call the corresponding methods in the
Lattice interface, to which we refer for
documentation.
Derman-Kani-Ergener-Bardhan discretized option helper class
This class is used with the BinomialDoubleBarrierEngine to implement the enhanced binomial algorithm of E.Derman, I.Kani, D.Ergener, I.Bardhan ("Enhanced Numerical Methods for Options with Barriers", 1995)
This algorithm is only suitable if the payoff can be approximated linearly, e.g. is not usable for cash-or-nothing payoffs.