net.finmath.fouriermethod.models

Class BlackScholesModel

java.lang.Object

net.finmath.fouriermethod.models.BlackScholesModel

All Implemented Interfaces:

CharacteristicFunctionModel, Model

public class BlackScholesModel
extends Object
implements CharacteristicFunctionModel

Implements the characteristic function of a Black Scholes model.

Version:

1.0

Author:

Christian Fries, Alessandro Gnoatto

Constructor Summary

Constructors

Constructor and Description
BlackScholesModel(double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, DiscountCurve discountCurveForDiscountRate)
BlackScholesModel(double initialValue, double riskFreeRate, double volatility)
BlackScholesModel(double initialValue, double riskFreeRate, double volatility, double discountRate)

Method Summary

Modifier and Type	Method and Description
CharacteristicFunction	apply(double time) Returns the characteristic function of X(t), where X is this stochastic process.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackScholesModel

public BlackScholesModel(double initialValue,
                         DiscountCurve discountCurveForForwardRate,
                         double volatility,
                         DiscountCurve discountCurveForDiscountRate)

BlackScholesModel

public BlackScholesModel(double initialValue,
                         double riskFreeRate,
                         double volatility,
                         double discountRate)

BlackScholesModel

public BlackScholesModel(double initialValue,
                         double riskFreeRate,
                         double volatility)

Method Detail

apply

public CharacteristicFunction apply(double time)

Description copied from interface: CharacteristicFunctionModel

Returns the characteristic function of X(t), where X is this stochastic process.

Specified by:

apply in interface CharacteristicFunctionModel

Parameters:

time - The time at which the stochastic process is observed.

Returns:

The characteristic function of X(t).