diffusion (3) - Linux Manuals
diffusion: experimental Black-Scholes-Merton stochastic process
NAME
QuantLib::ExtendedBlackScholesMertonProcess - experimental Black-Scholes-Merton stochastic process
SYNOPSIS
#include <ql/experimental/processes/extendedblackscholesprocess.hpp>
Inherits QuantLib::GeneralizedBlackScholesProcess.
Public Types
enum Discretization { Euler, Milstein, PredictorCorrector }
Public Member Functions
ExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein)
Real drift (Time t, Real x) const
Real diffusion (Time t, Real x) const
Real evolve (Time t0, Real x0, Time dt, Real dw) const
Detailed Description
experimental Black-Scholes-Merton stochastic process
This class allows to choose a built-in discretization scheme
Member Function Documentation
Real drift (Time t, Real x) const [virtual]
Possible enhancements
- revise extrapolation
Reimplemented from GeneralizedBlackScholesProcess.
Real diffusion (Time t, Real x) const [virtual]
Possible enhancements
- revise extrapolation
Reimplemented from GeneralizedBlackScholesProcess.
Real evolve (Time t0, Real x0, Time dt, Real dw) const [virtual]
returns the asset value after a time interval $ Delta t $ according to the given discretization. By default, it returns [ E(x_0,t_0,Delta t) + S(x_0,t_0,Delta t) dot Delta w ] where $ E $ is the expectation and $ S $ the standard deviation.
Reimplemented from StochasticProcess1D.
Author
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