Examples.Hedging
Class OptionExchangeAssets

java.lang.Object
  Examples.Hedging.OptionExchangeAssets

public class OptionExchangeAssets

extends java.lang.Object

Monte Carlo and Analytic price of the option to exchange assets on a basic asset pair (constant instantaneous volatility and correlation of returns). The option is then hedged with analytic deltas and a histogram of the hedge gains computed.

Constructor Summary

OptionExchangeAssets()

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

OptionExchangeAssets

public OptionExchangeAssets()

Method Detail

main

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