bsmtermoperator (3) - Linux Manuals

bsmtermoperator: differential operator for Black-Scholes-Merton equation

NAME

ql/methods/finitedifferences/bsmtermoperator.hpp - differential operator for Black-Scholes-Merton equation

SYNOPSIS

#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/transformedgrid.hpp>
#include <ql/methods/finitedifferences/pdebsm.hpp>

Typedefs

typedef PdeOperator< PdeBSM > BSMTermOperator
Black-Scholes-Merton differential operator.

Detailed Description

differential operator for Black-Scholes-Merton equation

Author

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