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blackscholesprocess.hpp File Reference


Detailed Description

Black-Scholes processes.

Definition in file blackscholesprocess.hpp.

#include <ql/stochasticprocess.hpp>
#include <ql/Processes/eulerdiscretization.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>
#include <ql/quote.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::BlackProcess
 Black (1976) stochastic process. More...
class  QuantLib::BlackScholes73Process
 Black-Scholes (1973) stochastic process. More...
class  QuantLib::BlackScholesMertonProcess
 Merton (1973) extension to the Black-Scholes stochastic process. More...
class  QuantLib::GarmanKohlagenProcess
 Garman-Kohlhagen (1983) stochastic process. More...
class  QuantLib::GeneralizedBlackScholesProcess
 Generalized Black-Scholes stochastic process. More...

Typedefs

typedef
GeneralizedBlackScholesProcess 
QuantLib::BlackScholesProcess


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