Module net.finmath.lib
Package net.finmath.montecarlo.assetderivativevaluation.products
package net.finmath.montecarlo.assetderivativevaluation.products
Products which may be valued using an
AssetModelMonteCarloSimulationModel.- Author:
- Christian Fries
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Interface SummaryInterfaceDescriptionInterface for products requiring an AssetModelMonteCarloSimulationModel for valuation.
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Class SummaryClassDescriptionBase class for products requiring an AssetModelMonteCarloSimulationModel for valuation.Implements the valuation of an Asian option.Implements valuation of a European option on a basket of asset.This class implements the valuation of a Bermudan digital option paying
\( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \),
when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.This class implements the valuation of a Bermudan option paying
N(i) * (S(T(i)) - K(i)) at T(i),
when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.This class implements a delta hedged portfolio of an European option (a hedge simulator).This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).This class implements a delta hedged portfolio (a hedge simulator).Implements the valuation of a digital option on a single asset.Implements calculation of the delta of a digital option.Implements the valuation of a European option on a single asset.Implements calculation of the delta of a European option using the likelihood ratio method.Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where d S(T)/d S(0) = S(T)/S(0), e.g., Black-Scholes.Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where
d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.Implements calculation of the delta of a European option.Implements calculation of the delta of a European option using the pathwise method.Implements calculation of the delta of a European option.Implements calculation of the delta of a European option using the pathwise method.Implements calculation of the theta of a European option using the pathwise method.Implements calculation of the delta of a European option.Implements calculation of the vega of a European option using the pathwise method.Implements pricing of a European stock option.This class implements a delta hedged portfolio of a given product (a hedge simulator).This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).Implements the valuation of a forward on a single asset.Implements the valuation of a forward on a single asset.This class implements a mean variance hedged portfolio of a given product (a hedge simulator). -
Enum Summary