OptimisedTrinomialLatticeProbs
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Function Description
Returns optimised
transition probabilities as an output array given lattice
levels which an
underlying at the current lattice node can move to, given that we want the sum
of the probabilities to add to SumWts (will almost always be 1, as
otherwise the are not
actually probabilities), the weighted mean of the underlying at the end of this
period to be WtdMean and the oneperiod volatility of the underlying to
be WtdStd.
We thus want:
Thus
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