Re: [Quantlib-dev] Open Discussion

[Luigi B. <lui...@gm...>]

On Thu, 2010-09-02 at 17:39 +0530, animesh saxena wrote:
> Thanks a lot. Just one minor thing I noticed in
> blackscholesprocess.hpp
> 
>             dS(t, S) = (r(t) - q(t) - \frac{\sigma(t, S)^2}{2}) dt
>                      + \sigma dW_t.
> 
> The above process is not possible, coz you can't have sigma(t,S).

Except you do.  If sigma is not constant, you might not derive all the
usual equations.  But you can define the process above just the same.

Luigi


-- 

Any software problem can be solved by adding another layer of
indirection. 
-- David J. Wheeler