Merton (1973) extension to the Black-Scholes stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>
Inheritance diagram for BlackScholesMertonProcess:Public Member Functions | |
| BlackScholesMertonProcess (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)) | |
Public Member Functions inherited from GeneralizedBlackScholesProcess | |
| GeneralizedBlackScholesProcess (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)) | |
| Time | time (const Date &) const |
| Real | x0 () const |
| returns the initial value of the state variable | |
| Real | drift (Time t, Real x) const |
| Real | diffusion (Time t, Real x) const |
| Real | apply (Real x0, Real dx) const |
| Real | expectation (Time t0, Real x0, Time dt) const |
| Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
| void | update () |
| const Handle< Quote > & | stateVariable () const |
| const Handle< YieldTermStructure > & | dividendYield () const |
| const Handle< YieldTermStructure > & | riskFreeRate () const |
| const Handle< BlackVolTermStructure > & | blackVolatility () const |
| const Handle< LocalVolTermStructure > & | localVolatility () const |
Public Member Functions inherited from StochasticProcess1D | |
| virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
| virtual Real | variance (Time t0, Real x0, Time dt) const |
Public Member Functions inherited from StochasticProcess | |
| virtual Size | factors () const |
| returns the number of independent factors of the process | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D (const boost::shared_ptr< discretization > &) | |
Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess (const boost::shared_ptr< discretization > &) | |
Protected Attributes inherited from StochasticProcess1D | |
| boost::shared_ptr< discretization > | discretization_ |
Protected Attributes inherited from StochasticProcess | |
| boost::shared_ptr< discretization > | discretization_ |
Merton (1973) extension to the Black-Scholes stochastic process.
This class describes the stochastic process ln(S) for a stock or stock index paying a continuous dividend yield given by
\[ d\ln S(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]