QuantLib_BlackScholesProcess man page

BlackScholesProcess — Black-Scholes (1973) stochastic process.  


#include <ql/processes/blackscholesprocess.hpp>

Inherits GeneralizedBlackScholesProcess.

Public Member Functions

BlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), bool forceDiscretization=false)

Additional Inherited Members

Detailed Description

Black-Scholes (1973) stochastic process.

This class describes the stochastic process $ S $ for a stock given by [ dln S(t) = (r(t) - ac{sigma(t, S)^2}{2}) dt + sigma dW_t. ]


while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.

Examples: Replication.cpp.


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Referenced By

The man page BlackScholesProcess(3) is an alias of QuantLib_BlackScholesProcess(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib