Module net.finmath.lib
Package net.finmath.montecarlo.assetderivativevaluation.models
Equity models implementing
ProcessModel
e.g. by extending AbstractProcessModel
.- Author:
- Christian Fries
-
Class Summary Class Description BachelierModel This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.BlackScholesModel This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.BlackScholesModelWithCurves This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.DisplacedLognomalModel This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.HestonModel This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.InhomogeneousDisplacedLognomalModel This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.InhomogenousBachelierModel This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.MertonModel This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.MultiAssetBlackScholesModel This class implements a multi-asset Black Scholes model providing anAbstractProcessModel
.VarianceGammaModel This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. -
Enum Summary Enum Description HestonModel.Scheme Truncation schemes to be used in the calculation of drift and diffusion coefficients.