Re: [Quantlib-dev] normal Black formula

[Mark j. <ma...@ma...>]

that looks like a log-normal formula, or am I missing something?

best

Mark


On 23/10/06, Ferdinando Ametrano <na...@am...> wrote:
> Hi Mark
>
> see ql/PricingEngines/blackformula.hpp
>
> ciao -- Nando
>
> On 10/23/06, Mark joshi <ma...@ma...> wrote:
> > Is there a normal Black formula in Quantlib? i.e. the Black formula if
> > the stock follows Brownian motion, not geometric Brownian motion. If
> > there isn't and I add one, where should I put it?
> >
> > thanks
> >
> > mark
> >
> >
> > --
> > Assoc Prof Mark Joshi
> > Centre for Actuarial Studies
> > University of Melbourne
> > My website is www.markjoshi.com
> >
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-- 
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com