blackscholesprocess.hpp

Langue: en

Autres versions - même langue

Version: 380662 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/processes/blackscholesprocess.hpp -

Black-Scholes processes.

SYNOPSIS


#include <ql/stochasticprocess.hpp>
#include <ql/processes/eulerdiscretization.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
#include <ql/quote.hpp>

Classes


class GeneralizedBlackScholesProcess
Generalized Black-Scholes stochastic process.
class BlackScholesProcess
Black-Scholes (1973) stochastic process.
class BlackScholesMertonProcess
Merton (1973) extension to the Black-Scholes stochastic process.
class BlackProcess
Black (1976) stochastic process.
class GarmanKohlagenProcess
Garman-Kohlhagen (1983) stochastic process.

Detailed Description

Black-Scholes processes.

Author

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