ExtendedBlackScholesMertonProcess Class Reference

experimental Black-Scholes-Merton stochastic process More...

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

Inheritance diagram for ExtendedBlackScholesMertonProcess:

List of all members.

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
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 process

This class allows to choose a built-in discretization scheme


Member Function Documentation

Real drift ( Time  t,
Real  x 
) const [virtual]
Possible enhancements:
revise extrapolation

Reimplemented from GeneralizedBlackScholesProcess.

Real diffusion ( Time  t,
Real  x 
) const [virtual]
Possible enhancements:
revise extrapolation

Reimplemented from GeneralizedBlackScholesProcess.

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 GeneralizedBlackScholesProcess.