DiffEqFinancial.BlackScholesProblem
— Type$d \ln S(t) = (r(t) - \frac{Θ(t,S)^2}{2})dt + σ dW_t$
Solves for $log S(t)$.
DiffEqFinancial.ExtendedOrnsteinUhlenbeckProblem
— Method$dx = a(b(t)-x)dt + σ dW_t$
DiffEqFinancial.GeneralizedBlackScholesProblem
— Method$d \ln S(t) = (r(t) - q(t) - \frac{Θ(t,S)^2}{2})dt + σ dW_t$
Solves for $log S(t)$.
DiffEqFinancial.GeometricBrownianMotionProblem
— Method$dx = μx dt + σx dW_t$
DiffEqFinancial.HestonProblem
— Method\[dS = μSdt + \sqrt{v}SdW_1 dv = κ(Θ-v)dt + σ\sqrt{v}dW_2 dW_1 dW_2 = ρ dt\]
DiffEqFinancial.MfStateProblem
— Method$dx = σ(t)e^{at} dW_t$
DiffEqFinancial.OrnsteinUhlenbeckProblem
— Method$dx = a(r-x)dt + σ dW_t$