Tree Lattice is among the most commonly used tools to price options in financial mathematics. In general, the approach is to divide time from now to the option’s expiration into N discrete periods. At the specific time n, the model has a finite number of outcomes at time n + 1 such that every possible change in the state of the world between n and n + 1 is captured in a branch. This process is iterated until every possible path between n = 0 and n = N is mapped. Probabilities are then estimated for every n to n + 1 path. The outcomes and probabilities flow backwards through the tree until a fair value of the option today is calculated (from wikipedia) .