PriceModel Enumeration |
Underlying asset price model.
Namespace: FinMath.Derivatives
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
public enum PriceModel
Members| Member name | Value | Description | |
|---|---|---|---|
| GeometricBrownian | 0 | Geometric Brownian motion. dS = \mu S dt + \sigma S dW | |
| RiskNeutralGeometricBrownian | 1 | Geometric Brownian motion with expected return equal to risk-free interest rate. dS = (r-q) S dt + \sigma S dW | |
| Other | 2 | Custom price model. |
See Also