Examples.Pricing
Class MC_Asset_Test
java.lang.Object
Examples.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
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 |
MC_Asset_Test
public MC_Asset_Test()
main
public static void main(java.lang.String[] args)