This is the Trigeorgis version of the Binomial tree. The Binomial tree is a discretized description of geometric Brownian motion which is often used to describe asset behavior. The structure is a recombining tree where the asset S can move either up or down.

List of symbols

u	Up-factor
d	Down-factor
	Volatility
Y	Yield of the underlying, for stocks Y=r (interest rate), futures Y=0, currencies Y=(domestic interest rate-foreign interest rate)
t	Timestep
S	Present value of the asset
	Value of the asset after a up movement
	Value of the asset after a down movement
	Probability of an up movement
	Probability of a down movement

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