Re: Black-Scholes Process required in MCHimalayanEngine
Posted by
Andreas Spengler-2 on
Nov 27, 2010; 6:18pm
URL: http://quantlib.414.s1.nabble.com/Black-Scholes-Process-required-in-MCHimalayanEngine-tp12097p12099.html
Hi Marcin,
Am 27.11.2010 15:35, schrieb Marcin Pawlik:
> Perhaps you could feed GenBSProc with the following:
> - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
> - flat dividend yield curve with a rate equal to 0
> - BlackConstantVol initiated with your sigma
How would that make a GenBSProc represent a _Geometric_BrownianMotian?
Rgds,
Andreas
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