bsmtermoperator(3)
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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