Module net.finmath.lib

Package net.finmath.finitedifference.products

Product valuation code for models using backward propagation.
Author:
Christian Fries
  • Interface Summary 
    Interface Description
    FiniteDifference1DProduct
    Interface one dimensional finite difference products.
  • Class Summary 
    Class Description
    FDMEuropeanCallOption
    Implementation of a European option to be valued by a the finite difference method.
    FDMEuropeanPutOption
    Implementation of a European option to be valued by a the finite difference method.