QuantLib_ExtendedBlackScholesMertonProcess man page

ExtendedBlackScholesMertonProcess — experimental Black-Scholes-Merton stochastic process

Synopsis

#include <ql/experimental/processes/extendedblackscholesprocess.hpp>

Inherits GeneralizedBlackScholesProcess.

Public Types

enum Discretization { Euler, Milstein, PredictorCorrector }

Public Member Functions

ExtendedBlackScholesMertonProcess (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), Discretization evolDisc=Milstein)

Real drift (Time t, Real x) const
returns the drift part of the equation, i.e. $ mu(t, x_t) $
Real diffusion (Time t, Real x) const
returns the diffusion part of the equation, i.e. $ sigma(t, x_t) $
Real evolve (Time t0, Real x0, Time dt, Real dw) const

Additional Inherited Members

Detailed Description

experimental Black-Scholes-Merton stochastic process

This class allows to choose a built-in discretization scheme

Member Function Documentation

Real evolve (Time t0, Real x0, Time dt, Real dw) const [virtual]

returns the asset value after a time interval $ Delta t $ according to the given discretization. By default, it returns [ E(x_0,t_0,Delta t) + S(x_0,t_0,Delta t) cdot Delta w ] where $ E $ is the expectation and $ S $ the standard deviation.

Reimplemented from StochasticProcess1D.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ExtendedBlackScholesMertonProcess(3) is an alias of QuantLib_ExtendedBlackScholesMertonProcess(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib