Black-Scholes processes. More...
#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. More... | |
| class | BlackScholesProcess |
| Black-Scholes (1973) stochastic process. More... | |
| class | BlackScholesMertonProcess |
| Merton (1973) extension to the Black-Scholes stochastic process. More... | |
| class | BlackProcess |
| Black (1976) stochastic process. More... | |
| class | GarmanKohlagenProcess |
| Garman-Kohlhagen (1983) stochastic process. More... | |
Black-Scholes processes.