Package net.finmath.montecarlo.assetderivativevaluation.products

Products which may be valued using an AssetModelMonteCarloSimulationInterface.

See: Description

Class Summary

Class	Description
AbstractAssetMonteCarloProduct	Base calls for product that need an AbstractLIBORMarketModel as base class
AsianOption	Implements the valuation of an Asian option.
BermudanOption	This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BlackScholesDeltaHedgedPortfolio	This class implements a delta hedged portfolio of an European option (a hedge simulator).
BlackScholesHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
EuropeanOption	Implements valuation of a European option on a single asset.

Enum Summary

Enum	Description
BermudanOption.ExerciseMethod
BlackScholesHedgedPortfolio.HedgeStrategy

Package net.finmath.montecarlo.assetderivativevaluation.products Description

Products which may be valued using an AssetModelMonteCarloSimulationInterface.