quantlib.processes.black_scholes_process.BlackScholesMertonProcess

class BlackScholesMertonProcess(Quote x0, YieldTermStructure dividend_ts, YieldTermStructure risk_free_ts, BlackVolTermStructure black_vol_ts)

Bases: GeneralizedBlackScholesProcess

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
diffusion(self, Time t, Real x)
drift(self, Time t, Real x)
expectation(self, Time t0, Real x0, Time dt)
factors(self)
size(self)
std_deviation(self, Time t0, Real x0, Time dt)
variance(self, Time t0, Real x0, Time dt)

Attributes

x0