blackscholesprocess(3)
NAME
ql/processes/blackscholesprocess.hpp – Black-Scholes processes.
SYNOPSIS
#include <ql/stochasticprocess.hpp>
#include <ql/processes/eulerdiscretization.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
#include <ql/quote.hpp>
Classes
class GeneralizedBlackScholesProcess
Generalized Black-Scholes stochastic process.
class BlackScholesProcess
Black-Scholes (1973) stochastic process.
class BlackScholesMertonProcess
Merton (1973) extension to the Black-Scholes stochastic process.
class BlackProcess
Black (1976) stochastic process.
class GarmanKohlagenProcess
Garman-Kohlhagen (1983) stochastic process.
Detailed Description
Black-Scholes processes.
Author
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