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

greeks
AnalyticGreeks
dividendRho
double

Methods

static GeneralizedBsm of(OptionType type, double spot, double strike, double maturity, double rate, double dividend, double vol)
type
call or put
spot
spot S
strike
strike K
maturity
time to expiry in years T
rate
continuously-compounded risk-free rate r
dividend
continuous dividend yield q
vol
lognormal volatility sigma
double price()