BlackScholesProcess Class Reference

#include <ql/diffusionprocess.hpp>

Inheritance diagram for BlackScholesProcess:

Inheritance graph
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List of all members.

Detailed Description

Black-Scholes diffusion process class.

This class describes the stochastic process governed by

\[ dS(t, S)= (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]

Todo:
revise extrapolation


Public Member Functions

 BlackScholesProcess (const RelinkableHandle< TermStructure > &riskFreeTS, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< BlackVolTermStructure > &blackVolTS, double s0)
double drift (Time t, double x) const
 returns the drift part of the equation, i.e. $ \mu(t, x_t) $

double diffusion (Time t, double x) const


Member Function Documentation

double diffusion Time  t,
double  x
const [virtual]
 

returns the diffusion part of the equation, i.e. $\sigma(t, x_t)$

Implements DiffusionProcess.


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