Package Examples.Pricing

Package description: Examples.pricing

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          Description

Class Summary
AmericanBasketPrice Computes the price of the American option from the Haugh/Kogan paper under the naive exercise policy for various values of the parameter alpha.
CallPriceAndDeltas Computes price and hedge deltas (at time t=0) for a European call on a constant volatility asset.
CallPriceQMC Computes the price of a European call: analytic price, ordinary Monte Carlo price and Sobol QMC price with inverse normal CDF conversion and writes a report on relative accuracy to the file QMC-accuracy.txt.
MC_Asset_Test Console program testing the accuracy of the Markov chain approximation * of a constant volatility asset.
QMCversusMC_1 A call on a constant volatility asset is valued using Monte Carlo and Quasi Monte Carlo simulation using the Sobol sequence.
QMCversusMC_2 A call on a constant volatility asset is valued using Monte Carlo and Quasi Monte Carlo simulation using the Sobol sequence.
SwaptionPrice Bermudan Swaption.
 

Package Examples.Pricing Description

Package description: Examples.pricing

Programs to compute the prices (and deltas) of European calls. Comparison between Monte Carlo, Quasi Monte Carlo and analytic prices.