Examples.ControlVariates
Class DefaultCVMeanTest

java.lang.Object
  extended byExamples.ControlVariates.DefaultCVMeanTest

public class DefaultCVMeanTest
extends java.lang.Object

Console program testing wether our formula for the mean of the default control variate (of an option) is correct. The analytic formula is compared against the Monte Carlo mean. A very high dividend rate q=0.94 (94%) is used to make sure dividends are accounted for properly.

Note that the default control variate is independent of the option which does not enter into the computation. A European call is used for initialization.

A fixed set of parameters (initial asset price S(0), volatility, ...) is used. No interaction with the user. Change the parameters in the source code and recompile if you must.


Constructor Summary
DefaultCVMeanTest()
           
 
Method Summary
static void main(java.lang.String[] args)
           
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

DefaultCVMeanTest

public DefaultCVMeanTest()
Method Detail

main

public static void main(java.lang.String[] args)