Class AsianOption

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.products.AsianOption

All Implemented Interfaces:

FiniteDifferenceEquityProduct, FiniteDifferenceProduct<FiniteDifferenceEquityModel>, Product

public class AsianOption
extends Object
implements FiniteDifferenceEquityProduct

Arithmetic Asian option priced via a Markov lift.

We lift the 1D Black-Scholes state S to the 2D Markov state (S, I) where I(t) = integral_0^t S(u) du, and solve a 2D PDE.

Fixed-strike payoff at maturity T: Call: max(I(T)/T - K, 0) Put : max(K - I(T)/T, 0)

Floating-strike payoff at maturity T: Call: max(S(T) - I(T)/T, 0) Put : max(I(T)/T - S(T), 0)

For early exercise, the immediate exercise payoff is evaluated using the average accrued up to exercise time t, i.e. I(t) / t.

Assumption: averaging times coincide with the PDE grid's time discretization.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
AsianOption(double maturity, double strike)	Performs the operation.
AsianOption(double maturity, double strike, double callOrPutSign)	Performs the operation.
AsianOption(double maturity, double strike, CallOrPut callOrPutSign)	Performs the operation.
AsianOption(double maturity, CallOrPut callOrPutSign, AsianStrike asianStrike)	Performs the operation.
AsianOption(String underlyingName, double maturity, double strike)	Performs the operation.
AsianOption(String underlyingName, double maturity, double strike, double callOrPutSign)	Performs the operation.
AsianOption(String underlyingName, double maturity, double strike, CallOrPut callOrPutSign)	Performs the operation.
AsianOption(String underlyingName, double maturity, double strike, CallOrPut callOrPutSign, AsianStrike asianStrike, Exercise exercise)	Performs the operation.
AsianOption(String underlyingName, double maturity, CallOrPut callOrPutSign, AsianStrike asianStrike)	Performs the operation.

Method Summary

Modifier and Type	Method	Description
AsianStrike	getAsianStrike()	Returns the value.
CallOrPut	getCallOrPut()	Returns the value.
Exercise	getExercise()	Returns the value.
FiniteDifferenceEquityModel	getLiftedModel(FiniteDifferenceEquityModel model)	Returns the value.
double	getMaturity()	Returns the value.
FDMSolver	getSolver(FiniteDifferenceEquityModel model)	Returns the value.
double	getStrike()	Returns the value.
String	getUnderlyingName()	Returns the value.
double[]	getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the value.
double[][]	getValues(FiniteDifferenceEquityModel model)	Returns the value.

Methods inherited from class Object

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

Methods inherited from interface FiniteDifferenceEquityProduct

getModelClass

Methods inherited from interface FiniteDifferenceProduct

getValue

Methods inherited from interface Product

getValues

Constructor Details

AsianOption

public AsianOption(String underlyingName,
 double maturity,
 double strike,
 CallOrPut callOrPutSign,
 AsianStrike asianStrike,
 Exercise exercise)

Performs the operation.

Parameters:

underlyingName - The value.

maturity - The value.

strike - The value.

callOrPutSign - The value.

asianStrike - The value.

exercise - The value.

AsianOption

public AsianOption(String underlyingName,
 double maturity,
 double strike,
 CallOrPut callOrPutSign)

Performs the operation.

Parameters:

underlyingName - The value.

maturity - The value.

strike - The value.

callOrPutSign - The value.

AsianOption

public AsianOption(String underlyingName,
 double maturity,
 double strike,
 double callOrPutSign)

Performs the operation.

Parameters:

underlyingName - The value.

maturity - The value.

strike - The value.

callOrPutSign - The value.

AsianOption

public AsianOption(double maturity,
 double strike,
 CallOrPut callOrPutSign)

Performs the operation.

Parameters:

maturity - The value.

strike - The value.

callOrPutSign - The value.

AsianOption

public AsianOption(double maturity,
 double strike,
 double callOrPutSign)

Performs the operation.

Parameters:

maturity - The value.

strike - The value.

callOrPutSign - The value.

AsianOption

public AsianOption(String underlyingName,
 double maturity,
 double strike)

Performs the operation.

Parameters:

underlyingName - The value.

maturity - The value.

strike - The value.

AsianOption

public AsianOption(double maturity,
 double strike)

Performs the operation.

Parameters:

maturity - The value.

strike - The value.

AsianOption

public AsianOption(String underlyingName,
 double maturity,
 CallOrPut callOrPutSign,
 AsianStrike asianStrike)

Performs the operation.

Parameters:

underlyingName - The value.

maturity - The value.

callOrPutSign - The value.

asianStrike - The value.

AsianOption

public AsianOption(double maturity,
 CallOrPut callOrPutSign,
 AsianStrike asianStrike)

Performs the operation.

Parameters:

maturity - The value.

callOrPutSign - The value.

asianStrike - The value.

Method Details

getValue

public double[] getValue(double evaluationTime,
 FiniteDifferenceEquityModel model)

Description copied from interface: FiniteDifferenceProduct

Returns the value.

Specified by:

getValue in interface FiniteDifferenceProduct<FiniteDifferenceEquityModel>

Parameters:

evaluationTime - The value.

model - The value.

Returns:

The value.

getValues

public double[][] getValues(FiniteDifferenceEquityModel model)

Description copied from interface: FiniteDifferenceProduct

Returns the value.

Specified by:

getValues in interface FiniteDifferenceProduct<FiniteDifferenceEquityModel>

Parameters:

model - The value.

Returns:

The value.

getSolver

public FDMSolver getSolver(FiniteDifferenceEquityModel model)

Returns the value.

Parameters:

model - The value.

Returns:

The value.

getLiftedModel

public FiniteDifferenceEquityModel getLiftedModel(FiniteDifferenceEquityModel model)

Returns the value.

Parameters:

model - The value.

Returns:

The value.

getUnderlyingName

public String getUnderlyingName()

Returns the value.

Returns:

The value.

getMaturity

public double getMaturity()

Returns the value.

Returns:

The value.

getStrike

public double getStrike()

Returns the value.

Returns:

The value.

getCallOrPut

public CallOrPut getCallOrPut()

Returns the value.

Returns:

The value.

getAsianStrike

public AsianStrike getAsianStrike()

Returns the value.

Returns:

The value.

getExercise

public Exercise getExercise()

Returns the value.

Returns:

The value.