34 const ext::shared_ptr<discretization>& disc)
37 jumpIntensity_(
std::move(jumpInt)), logMeanJump_(
std::move(logJMean)),
38 logJumpVolatility_(
std::move(logJVol)) {
Merton (1973) extension to the Black-Scholes stochastic process.
Shared handle to an observable.
const Handle< Quote > & jumpIntensity() const
const Handle< Quote > & logJumpVolatility() const
const Handle< Quote > & stateVariable() const
Handle< Quote > logJumpVolatility_
Merton76Process(const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > ÷ndTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, Handle< Quote > jumpInt, Handle< Quote > logJMean, Handle< Quote > logJVol, const ext::shared_ptr< discretization > &d=ext::shared_ptr< discretization >(new EulerDiscretization))
Handle< Quote > logMeanJump_
const Handle< YieldTermStructure > & dividendYield() const
Time time(const Date &) const override
ext::shared_ptr< GeneralizedBlackScholesProcess > blackProcess_
const Handle< Quote > & logMeanJump() const
Handle< Quote > jumpIntensity_
const Handle< BlackVolTermStructure > & blackVolatility() const
Real x0() const override
returns the initial value of the state variable
const Handle< YieldTermStructure > & riskFreeRate() const
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
1-dimensional stochastic process
Real Time
continuous quantity with 1-year units