Package net.finmath.montecarlo.assetderivativevaluation.products

Products which may be valued using an AssetModelMonteCarloSimulationModel.

See: Description

Interface Summary

Interface	Description
AssetMonteCarloProduct	Interface for products requiring an AssetModelMonteCarloSimulationModel for valuation.

Class Summary

Class	Description
AbstractAssetMonteCarloProduct	Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
AsianOption	Implements the valuation of an Asian option.
BasketOption	Implements valuation of a European option on a basket of asset.
BermudanDigitalOption	This class implements the valuation of a Bermudan digital option paying \( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \), when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
BermudanOption	This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BlackScholesDeltaHedgedPortfolio	This class implements a delta hedged portfolio of an European option (a hedge simulator).
BlackScholesHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
DeltaHedgedPortfolioWithAAD	This class implements a delta hedged portfolio (a hedge simulator).
DigitalOption	Implements the valuation of a digital option on a single asset.
DigitalOptionDeltaLikelihood	Implements calculation of the delta of a digital option.
EuropeanOption	Implements the valuation of a European option on a single asset.
FiniteDifferenceDeltaHedgedPortfolio	This class implements a delta hedged portfolio of a given product (a hedge simulator).
LocalRiskMinimizingHedgePortfolio	This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Enum Summary

Enum	Description
BermudanDigitalOption.ExerciseMethod
BermudanOption.ExerciseMethod
BlackScholesHedgedPortfolio.HedgeStrategy

Package net.finmath.montecarlo.assetderivativevaluation.products Description

Products which may be valued using an AssetModelMonteCarloSimulationModel.

Author:

Christian Fries