Properties
Private _blackVolatility
Private _dividendYield
Private _externalLocalVolTS
Private _forceDiscretization
_forceDiscretization: boolean
Private _hasExternalLocalVol
_hasExternalLocalVol: boolean
_isDisposed
_isDisposed: boolean = false
Private _isStrikeIndependent
_isStrikeIndependent: boolean
Private _localVolatility
Private _riskFreeRate
Private _updated
_updated: boolean
Private _x0
dispose
dispose: () => void
isDisposed
isDisposed: boolean
notifyObservers
notifyObservers: () => void
registerWithObservables
register
WithObservables: (o: Observer) => voidunregisterObserver
unregister
Observer: (o: Observer) => voidunregisterWithAll
unregisterWithAll: () => void
Generalized Black-Scholes stochastic process
This class describes the stochastic process $ S $ governed by $$ d\ln S(t) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t. $$
warning while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.