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 anAbstractProcessModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
and implementsAssetModelMonteCarloSimulationModel
.MonteCarloBlackScholesModel This class glues together aBlackScholeModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
and forms a Monte-Carlo implementation of the Black-Scholes Model by implementingAssetModelMonteCarloSimulationModel
.MonteCarloMertonModel This class glues together aMertonModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
, namelyEulerSchemeFromProcessModel
, and forms a Monte-Carlo implementation of the Merton model by implementingAssetModelMonteCarloSimulationModel
.MonteCarloMultiAssetBlackScholesModel This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementingAssetModelMonteCarloSimulationModel
.MonteCarloVarianceGammaModel This class glues together aVarianceGammaModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
and forms a Monte-Carlo implementation of the Variance Gamma Model by implementingAssetModelMonteCarloSimulationModel
.