- QuantLib
- BlackScholesMertonProcess
 
Merton (1973) extension to the Black-Scholes stochastic process. More...
#include <ql/processes/blackscholesprocess.hpp>

| 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)) | |
Merton (1973) extension to the Black-Scholes stochastic process.
This class describes the stochastic process for a stock or stock index paying a continuous dividend yield given by
![\[ dS(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. \]](form_328.png)