Examples.Pricing
Class QMCversusMC_2

java.lang.Object
  extended byExamples.Pricing.QMCversusMC_2

public class QMCversusMC_2
extends java.lang.Object

A call on a constant volatility asset is valued using Monte Carlo and Quasi Monte Carlo simulation using the Sobol sequence. The valuation is carried out as a problem in any user defined dimension (the number of time steps to the horizon).

The results are compared to the analytic call price and the probability that Monte Carlo beats the Sobol sequence is computed from a user defined number of Monte Carlo runs. The number of simulated paths is user defined.


Constructor Summary
QMCversusMC_2()
           
 
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

QMCversusMC_2

public QMCversusMC_2()
Method Detail

main

public static void main(java.lang.String[] args)
                 throws java.io.FileNotFoundException,
                        java.io.IOException
Throws:
java.io.FileNotFoundException
java.io.IOException