quantlib.processes.black_scholes_process.
BlackScholesMertonProcess¶
- class BlackScholesMertonProcess(Quote x0, HandleYieldTermStructure dividend_ts, HandleYieldTermStructure risk_free_ts, BlackVolTermStructure black_vol_ts)¶
Bases:
GeneralizedBlackScholesProcess
- Attributes:
- x0
Methods
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)