Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

[Andreas S. <an...@sp...>]

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