- public class AverageDown
- extends java.lang.Object
Console program allocating a constant volatility asset and examining
the strategy which averages down as follows: 100 shares are bought at time
t=0. Each time the asset price declines 5% from the level of the last buy
another 100 share are bought. Computes the means and standard deviations
- the gains from trading
- the maximum amount borrowed
- the maximum drawdown
- the annualized return on investment (compounded continuously)
- the number of trades
All except the last quantity are discounted amounts and all are evaluated
at the time horizon T.
Parameters (time to expiration, volatility,...) fixed in source code.
No user interaction. 10,000 paths of the underlying asset are simulated.
|Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
public static void main(java.lang.String args)