BlackScholesProcess Class Reference
[Stochastic processes]

#include <ql/processes/blackscholesprocess.hpp>

Inheritance diagram for BlackScholesProcess:

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Detailed Description

Black-Scholes (1973) stochastic process.

This class describes the stochastic process for a stock given by

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

Examples:

Replication.cpp.


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))