Package net.finmath.finitedifference.assetderivativevaluation.models

package net.finmath.finitedifference.assetderivativevaluation.models

Package net.finmath.finitedifference.assetderivativevaluation.models.

Class	Description
AbstractStateIndependentJumpComponent	Minimal abstract base class for a state-independent jump component.
BatesJumpComponent	Jump component for the Bates model.
FDMBachelierModel	Finite difference model for option pricing under the Bachelier (normal) model.
FDMBatesModel	Finite difference model for option pricing under the Bates stochastic volatility jump-diffusion model.
FDMBlackScholesModel	Finite difference model for option pricing under the Black-Scholes framework for European and American options.
FDMCevModel	Finite difference model for option pricing under the Constant Elasticity of Variance (CEV) model.
FDMHestonModel	Finite difference model for option pricing under the Heston stochastic volatility model.
FDMMertonModel	Finite-difference model for option pricing under the Merton jump-diffusion model.
FDMMultiAssetBlackScholesModel	Finite-difference model for a multi-asset Black-Scholes market with constant volatilities and constant instantaneous correlation.
FDMSabrModel	Finite difference model for option pricing under the SABR stochastic volatility model.
FDMVarianceGammaModel	Finite-difference model for option pricing under the Variance Gamma model.
FiniteDifferenceEquityModel	Interface for a finite-difference equity model.
JumpComponent	Describes the jump part of the infinitesimal generator used by a finite- difference equity model.
MertonJumpComponent	Jump component for the Merton jump-diffusion model.
VarianceGammaJumpComponent	Jump component for the Variance Gamma model.