BlackScholesMertonProcess (3) Linux Manual Page

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 [ dS(t, S) = (r(t) – q(t) – ac{igma(t, S)^2}{2}) dt + igma dW_t. ]

Examples:

ConvertibleBonds.cpp, DiscreteHedging.cpp, and EquityOption.cpp.

Author

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