BlackScholesMertonProcess Class Reference
[Stochastic processes]
#include <ql/processes/blackscholesprocess.hpp>
Inheritance diagram for BlackScholesMertonProcess:

Detailed Description
Merton (1973) extension to the Black-Scholes stochastic process.This class describes the stochastic process for a stock or stock index paying a continuous dividend yield given by
- Examples:
-
ConvertibleBonds.cpp, DiscreteHedging.cpp, and EquityOption.cpp.
Public Member Functions | |
BlackScholesMertonProcess (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)) |