QuantLib_BlackScholesMertonProcess

Langue: en

Autres versions - même langue

Version: 157491 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::BlackScholesMertonProcess - Merton (1973) extension to the Black-Scholes stochastic process.

SYNOPSIS


#include <ql/processes/blackscholesprocess.hpp>

Inherits QuantLib::GeneralizedBlackScholesProcess.

Public Member Functions


BlackScholesMertonProcess (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))

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.

Author

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