Examples.Pricing
Class AmericanBasketPrice

java.lang.Object
  Examples.Pricing.AmericanBasketPrice

public class AmericanBasketPrice

extends java.lang.Object

Computes the price of the American option from the Haugh/Kogan paper under the naive exercise policy for various values of the parameter alpha.

Constructor Summary

AmericanBasketPrice()

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

AmericanBasketPrice

public AmericanBasketPrice()

Method Detail

main

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