ExtendedBlackScholesMertonProcess Class Reference
experimental Black-Scholes-Merton stochastic process More...
#include <ql/experimental/processes/extendedblackscholesprocess.hpp>
Inheritance diagram for ExtendedBlackScholesMertonProcess:

Public Types | |
| enum | Discretization { Euler, Milstein, PredictorCorrector } |
Public Member Functions | |
| ExtendedBlackScholesMertonProcess (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), 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
- Possible enhancements:
- revise extrapolation
Reimplemented from GeneralizedBlackScholesProcess.
- Possible enhancements:
- revise extrapolation
Reimplemented from GeneralizedBlackScholesProcess.
according to the given discretization. By default, it returns
is the expectation and
the standard deviation.