org.jquantlib.processes

Class BlackScholesMertonProcess

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.processes.StochasticProcess1D

org.jquantlib.processes.GeneralizedBlackScholesProcess

org.jquantlib.processes.BlackScholesMertonProcess

All Implemented Interfaces:

Observable, Observer

public class BlackScholesMertonProcess
extends GeneralizedBlackScholesProcess

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

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess1D

StochasticProcess1D.Discretization1D

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess

StochasticProcess.Discretization

Constructor Summary

Constructors

Constructor and Description
BlackScholesMertonProcess(Handle<? extends Quote> x0, Handle<YieldTermStructure> dividendTS, Handle<YieldTermStructure> riskFreeTS, Handle<BlackVolTermStructure> blackVolTS)
BlackScholesMertonProcess(Handle<? extends Quote> x0, Handle<YieldTermStructure> dividendTS, Handle<YieldTermStructure> riskFreeTS, Handle<BlackVolTermStructure> blackVolTS, StochasticProcess1D.Discretization1D discretization)

Method Summary

Methods inherited from class org.jquantlib.processes.GeneralizedBlackScholesProcess

apply, blackVolatility, diffusion, dividendYield, drift, localVolatility, riskFreeRate, stateVariable, time, update, x0

Methods inherited from class org.jquantlib.processes.StochasticProcess1D

apply, covariance, diffusion, drift, evolve, evolve, expectation, expectation, initialValues, size, stdDeviation, stdDeviation, variance

Methods inherited from class org.jquantlib.processes.StochasticProcess

addObserver, countObservers, deleteObserver, deleteObservers, factors, getObservers, notifyObservers, notifyObservers

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackScholesMertonProcess

public BlackScholesMertonProcess(Handle<? extends Quote> x0,
                                 Handle<YieldTermStructure> dividendTS,
                                 Handle<YieldTermStructure> riskFreeTS,
                                 Handle<BlackVolTermStructure> blackVolTS)

BlackScholesMertonProcess

public BlackScholesMertonProcess(Handle<? extends Quote> x0,
                                 Handle<YieldTermStructure> dividendTS,
                                 Handle<YieldTermStructure> riskFreeTS,
                                 Handle<BlackVolTermStructure> blackVolTS,
                                 StochasticProcess1D.Discretization1D discretization)