ExtendedBlackScholesMertonProcess Class Reference
[Stochastic processes]
experimental Black-Scholes-Merton stochastic process
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#include <ql/experimental/processes/extendedblackscholesprocess.hpp>
Inheritance diagram for ExtendedBlackScholesMertonProcess:

Public Types | |
enum | Discretization { Euler, Milstein, PredictorCorrector } |
Public Member Functions | |
ExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, 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 |
Real | diffusion (Time t, Real x) const |
Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
Detailed Description
experimental Black-Scholes-Merton stochastic processThis class allows to choose a built-in discretization scheme
Member Function Documentation
Real drift | ( | Time | t, | |
Real | x | |||
) | const [virtual] |
Real diffusion | ( | Time | t, | |
Real | x | |||
) | const [virtual] |
Real evolve | ( | Time | t0, | |
Real | x0, | |||
Time | dt, | |||
Real | dw | |||
) | const [virtual] |
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from GeneralizedBlackScholesProcess.