Files

BlackScholesModel.h

#pragma once

#include "stdafx.h"

class BlackScholesModel {
public:
    BlackScholesModel();
    double drift;
    double stockPrice;
    double volatility;
    double riskFreeRate;
    double date;

    std::vector<double> generatePricePath(
                            double toDate,
                            int nSteps) const;

    std::vector<double> generateRiskNeutralPricePath(
                            double toDate,
                            int nSteps) const;
private:
    std::vector<double> generatePricePath(
                            double toDate,
                            int nSteps,
                            double drift) const;
};



void testBlackScholesModel();