Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation

Monte-Carlo models for asset value processes, like the Black Scholes model.
Author:
Christian Fries
  • Interface Summary 
    Interface Description
    AssetModelMonteCarloSimulationModel
    Basic interface which has to be implemented by Monte Carlo models for asset processes.
  • Class Summary 
    Class Description
    MonteCarloAssetModel
    This class glues together an AbstractProcessModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and implements AssetModelMonteCarloSimulationModel.
    MonteCarloBlackScholesModel
    This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel.
    MonteCarloMertonModel
    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.
    MonteCarloMultiAssetBlackScholesModel
    This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel.
    MonteCarloVarianceGammaModel
    This class glues together a VarianceGammaModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Variance Gamma Model by implementing AssetModelMonteCarloSimulationModel.