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ExtendedBlackScholesMertonProcess

NAME

ExtendedBlackScholesMertonProcess − experimental Black-Scholes-Merton stochastic process

SYNOPSIS

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

Inherits GeneralizedBlackScholesProcess.

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
returns the drift part of the equation, i.e. $ (t, x_t) $
Real diffusion
(Time t, Real x) const
returns the diffusion part of the equation, i.e. $ ma(t, x_t) $
Real evolve
(Time t0, Real x0, Time dt, Real dw) const

Additional Inherited Members

Detailed Description

experimental Black-Scholes-Merton stochastic process

This class allows to choose a built-in discretization scheme

Member Function Documentation

Real evolve (Time t0, Real x0, Time dt, Real dw) const [virtual]
returns the asset value after a time interval $ given discretization. By default, it returns E(x_0,t_0, expectation and $ S $ the standard deviation.

Reimplemented from StochasticProcess1D.

Author

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