Module net.finmath.lib
Package net.finmath.montecarlo.assetderivativevaluation

Class MonteCarloMertonModel

java.lang.Object
net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
All Implemented Interfaces:
Model, AssetModelMonteCarloSimulationModel, MonteCarloSimulationModel
public class MonteCarloMertonModel
extends Object
implements AssetModelMonteCarloSimulationModel
This class glues together a MertonModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel, namely EulerSchemeFromProcessModel, and forms a Monte-Carlo implementation of the Merton model by implementing AssetModelMonteCarloSimulationModel. The model is \[ dS = \mu S dt + \sigma S dW + S dJ, \quad S(0) = S_{0}, \] \[ dN = r N dt, \quad N(0) = N_{0}, \] where \( W \) is Brownian motion and \( J \) is a jump process (compound Poisson process). The process \( J \) is given by \( J(t) = \sum_{i=1}^{N(t)} (Y_{i}-1) \), where \( \log(Y_{i}) \) are i.i.d. normals with mean \( a - \frac{1}{2} b^{2} \) and standard deviation \( b \). Here \( a \) is the jump size mean and \( b \) is the jump size std. dev. For details on the construction of the model see MertonModel.
Version:
1.0
Author:
Christian Fries
See Also:
MertonModel, The interface for numerical schemes., The interface for models provinding parameters to numerical schemes.