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QuantLib_BlackScholesProcess
Langue: en
Version: 173035 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackScholesProcess - Black-Scholes (1973) stochastic process.SYNOPSIS
#include <ql/processes/blackscholesprocess.hpp>
Inherits QuantLib::GeneralizedBlackScholesProcess.
Public Member Functions
BlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization))
Detailed Description
Black-Scholes (1973) stochastic process.
This class describes the stochastic process for a stock given by \
Examples:
Replication.cpp.
Author
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