Class MC_Asset_Test

  extended byExamples.Pricing.MC_Asset_Test

public class MC_Asset_Test
extends java.lang.Object

Console program testing the accuracy of the Markov chain approximation * of a constant volatility asset.

* *

A standard European call is priced analytically, by Monte Carlo * simulation based on the Markov chain approximation of the asset price * and by Monte Carlo simulation based on the asset price dynamics itself. * The prices are then compared for accuracy.

* *

All parameters fixed in source code. No user interaction. * Change the parameters in the source code and recompile if you must.

* * @author Michael J. Meyer

Constructor Summary
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


public MC_Asset_Test()
Method Detail


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