Class EuropeanOptionSabrModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.EuropeanOptionSabrModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class EuropeanOptionSabrModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for EuropeanOption under the FDMSabrModel.

State variables are assumed to be (S, alpha), where S is the asset level and alpha is the stochastic volatility factor. Dirichlet conditions are imposed in the asset direction, while the volatility-direction boundaries are left untouched via StandardBoundaryCondition.none().

This implementation uses grid-aware asset-direction boundary values: instead of applying asymptotic formulas blindly, it evaluates discounted intrinsic value at the actual boundary stock level.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionSabrModelBoundary(FDMSabrModel model)	Performs the operation.

Method Summary

Modifier and Type	Method	Description
BoundaryCondition[]	getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)	Returns the boundary conditions at the lower boundary.
BoundaryCondition[]	getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)	Returns the boundary conditions at the upper boundary.

Methods inherited from class Object

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

Constructor Details

EuropeanOptionSabrModelBoundary

public EuropeanOptionSabrModelBoundary(FDMSabrModel model)

Performs the operation.

Parameters:

model - The value.

Method Details

getBoundaryConditionsAtLowerBoundary

public BoundaryCondition[] getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceBoundary

Returns the boundary conditions at the lower boundary.

The returned array is indexed by state-variable dimension.

Specified by:

getBoundaryConditionsAtLowerBoundary in interface FiniteDifferenceBoundary

Parameters:

product - The product being valued.

time - The running time.

stateVariables - The state variables specifying the boundary location.

Returns:

The lower-boundary conditions by dimension.

getBoundaryConditionsAtUpperBoundary

public BoundaryCondition[] getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceBoundary

Returns the boundary conditions at the upper boundary.

The returned array is indexed by state-variable dimension.

Specified by:

getBoundaryConditionsAtUpperBoundary in interface FiniteDifferenceBoundary

Parameters:

product - The product being valued.

time - The running time.

stateVariables - The state variables specifying the boundary location.

Returns:

The upper-boundary conditions by dimension.