QuantLib_BlackScholesMertonProcess man page

BlackScholesMertonProcess — Merton (1973) extension to the Black-Scholes stochastic process.

Synopsis

#include <ql/processes/blackscholesprocess.hpp>

Inherits GeneralizedBlackScholesProcess.

Public Member Functions

BlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))

Additional Inherited Members

Detailed Description

Merton (1973) extension to the Black-Scholes stochastic process.

This class describes the stochastic process ln(S) for a stock or stock index paying a continuous dividend yield given by [ dln S(t, S) = (r(t) - q(t) - ac{sigma(t, S)^2}{2}) dt + sigma dW_t. ]

Examples: ConvertibleBonds.cpp, DiscreteHedging.cpp, and EquityOption.cpp.

Author

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Referenced By

BlackScholesMertonProcess(3) is an alias of QuantLib_BlackScholesMertonProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib