Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation

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 implements a multi-asset Black Schole Model as Monte-Carlo simulation 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.