java.lang.Object
net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
All Implemented Interfaces:
Model, AssetModelMonteCarloSimulationModel, MonteCarloSimulationModel

public class MonteCarloBlackScholesModel2 extends LogNormalProcess implements AssetModelMonteCarloSimulationModel
Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process
Version:
1.2
Author:
Christian Fries
  • Constructor Details

    • MonteCarloBlackScholesModel2

      public MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility)
      Create a Monte-Carlo simulation using given time discretization.
      Parameters:
      timeDiscretization - The time discretization
      numberOfPaths - The number of Monte-Carlo path to be used
      initialValue - Spot value
      riskFreeRate - The risk free rate
      volatility - The log volatility
    • MonteCarloBlackScholesModel2

      public MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility, int seed)
      Create a Monte-Carlo simulation using given time discretization.
      Parameters:
      timeDiscretization - The time discretization.
      numberOfPaths - The number of Monte-Carlo path to be used.
      initialValue - Spot value.
      riskFreeRate - The risk free rate.
      volatility - The log volatility.
      seed - The seed for the random number generator.
  • Method Details