Class MonteCarloBlackScholesModel

java.lang.Object
net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
All Implemented Interfaces:
Model, AssetModelMonteCarloSimulationModel, MonteCarloSimulationModel

public class MonteCarloBlackScholesModel extends MonteCarloAssetModel
This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel. The model is \[ dS = r S dt + \sigma S dW, \quad S(0) = S_{0}, \] \[ dN = r N dt, \quad N(0) = N_{0}, \] The class provides the model of S to an MonteCarloProcess via the specification of \( f = exp \), \( \mu = r - \frac{1}{2} \sigma^2 \), \( \lambda_{1,1} = \sigma \), i.e., of the SDE \[ dX = \mu dt + \lambda_{1,1} dW, \quad X(0) = \log(S_{0}), \] with \( S = f(X) \). See MonteCarloProcess for the notation.
Version:
1.0
Author:
Christian Fries
See Also: