QuantLib_BlackScholesProcess (3) Linux Manual Page
QuantLib::BlackScholesProcess – Black-Scholes (1973) stochastic process.
Synopsis
#include <ql/processes/blackscholesprocess.hpp>Inherits QuantLib::GeneralizedBlackScholesProcess.
Public Member Functions
BlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))Detailed Description
Black-Scholes (1973) stochastic process.This class describes the stochastic process for a stock given by [ dS(t, S) = (r(t) – ac{igma(t, S)^2}{2}) dt + igma dW_t. ]
Examples:
Replication.cpp.