Module net.finmath.lib

Package net.finmath.finitedifference.experimental

Class BlackScholesTheta

java.lang.Object

net.finmath.finitedifference.experimental.BlackScholesTheta

public class BlackScholesTheta
extends Object

Implementation of the theta schemes for the Black-Scholes model (still experimental).

Version:

1.0

Author:

Ralph Rudd, Christian Fries, Jörg Kienitz

Constructor Summary

Constructors

Constructor	Description
BlackScholesTheta()

Method Summary

Modifier and Type	Method	Description
double[][]	solve()

Methods inherited from class java.lang.Object

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

Constructor Details

BlackScholesTheta

public BlackScholesTheta()

Method Details

solve

public double[][] solve()