class |
AbstractAssetMonteCarloProduct |
Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
|
class |
AsianOption |
Implements the valuation of an Asian option.
|
class |
BasketOption |
Implements valuation of a European option on a basket of asset.
|
class |
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.
|
class |
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.
|
class |
BlackScholesDeltaHedgedPortfolio |
This class implements a delta hedged portfolio of an European option (a hedge simulator).
|
class |
BlackScholesHedgedPortfolio |
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
|
class |
DeltaHedgedPortfolioWithAAD |
This class implements a delta hedged portfolio (a hedge simulator).
|
class |
DigitalOption |
Implements the valuation of a digital option on a single asset.
|
class |
DigitalOptionDeltaLikelihood |
Implements calculation of the delta of a digital option.
|
class |
EuropeanOption |
Implements the valuation of a European option on a single asset.
|
class |
EuropeanOptionDeltaLikelihood |
Implements calculation of the delta of a European option using the likelihood ratio method.
|
class |
EuropeanOptionDeltaPathwise |
Implements calculation of the delta of a European option using the path-wise method,
assuming that the underlying follows a model where d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.
|
class |
EuropeanOptionDeltaPathwiseForGeometricModel |
Implements calculation of the delta of a European option using the path-wise method,
assuming that the underlying follows a model where
d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.
|
class |
EuropeanOptionGammaLikelihood |
Implements calculation of the delta of a European option.
|
class |
EuropeanOptionGammaPathwise |
Implements calculation of the delta of a European option using the pathwise method.
|
class |
EuropeanOptionRhoLikelihood |
Implements calculation of the delta of a European option.
|
class |
EuropeanOptionRhoPathwise |
Implements calculation of the delta of a European option using the pathwise method.
|
class |
EuropeanOptionThetaPathwise |
Implements calculation of the theta of a European option using the pathwise method.
|
class |
EuropeanOptionVegaLikelihood |
Implements calculation of the delta of a European option.
|
class |
EuropeanOptionVegaPathwise |
Implements calculation of the vega of a European option using the pathwise method.
|
class |
EuropeanOptionWithBoundary |
Implements pricing of a European stock option.
|
class |
FiniteDifferenceDeltaHedgedPortfolio |
This class implements a delta hedged portfolio of a given product (a hedge simulator).
|
class |
FiniteDifferenceHedgedPortfolio |
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
|
class |
LocalRiskMinimizingHedgePortfolio |
This class implements a mean variance hedged portfolio of a given product (a hedge simulator).
|