Usage: |
{newnodes,overwritten}=ITTnewnodes(old,r,sigma,deltat,div)
|
Input: |
| old | vector; last level of the trinomial tree
|
| r | scalar; CONTINUOUS interest rate from interval (0,1)
|
| sigma | scalar; constant volatility from interval (0,1)
|
| deltat | scalar; the time step between the last and the new level
|
| div | scalar; the CONTINUOUS dividend rate from interval (0,1)
|
Output: |
| newnodes | vector; new level of the ITT; the forward price lies
always between the relevant tree nodes |
| overwritten | vector; overwritten nodes (because of the arbitrage) in
the new level of the ITT |