BSMOperator (3) - Linux Manuals

BSMOperator: Black-Scholes-Merton differential operator.

NAME

QuantLib::BSMOperator - Black-Scholes-Merton differential operator.

SYNOPSIS

#include <ql/methods/finitedifferences/bsmoperator.hpp>

Inherits QuantLib::TridiagonalOperator.

Public Member Functions

BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma)

BSMOperator (const Array &grid, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Time residualTime)

Detailed Description

Black-Scholes-Merton differential operator.

Author

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