Docs / nablatensor-quant / com.nablatensor.quant.analytic
record
GeneralizedBsm
Merton's extension of Black-Scholes to a continuous dividend yield q — the pricer for options on a dividend-paying stock or a stock index. The cost of carry is b = r - q.
rho() is the total dV/dr with q held fixed (so the carry moves one-for-one with r); the separate dividendRho slot below is dV/dq.
Record components
Methods
static GeneralizedBsm of(OptionType type, double spot, double strike, double maturity, double rate, double dividend, double vol)
double price()