LatticePayoff

The exercise value of a contract at a lattice node, as a function of the underlying at that node. Used both at expiry and — for an American or Bermudan contract — at every earlier exercisable step.

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Methods

double exerciseValue(double underlying)

static LatticePayoff vanilla(OptionType type, double strike)

max(sign * (S - K), 0) for a vanilla call or put.