- public class BuyAndHold
- extends java.lang.Object
Console program allocating a constant volatility asset and examining
the buy and hold strategy. 100 shares are bought at time t=0 and held to
the horizon. Computes the means and standard deviations of:
- 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)