Re: [Quantlib-dev] question on Black-Scholes stochastic process.

[Yee M. C. <ym...@ya...>]

Yeah, it should be dlog(S(t, S)) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t

Yee Man

--- On Tue, 9/9/08, Sun, Xiuxin <xiu...@ci...> wrote:

> From: Sun, Xiuxin <xiu...@ci...>
> Subject: [Quantlib-dev] question on Black-Scholes stochastic process.
> To: qua...@li...
> Date: Tuesday, September 9, 2008, 1:43 AM
> HI all,
> 
> In blackscholesprocess.hpp there are comment lines about
> what the
> BlackScholesProcess stands for :
> 
> dS(t, S) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt +
> \sigma dW_t.
> 
> For this since it is a differential format, shouldn't
> BS process be
> dS(t, S)/S(t, S) = ... ?
> 
> Also is the drift part from the brownie motion ,
> \frac{\sigma(t,
> S)^2}{2}) , still presented in the differential format?
> 
> please help to make me clear.
> 
> Regards,
> sun
> 
> 
> 
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