- public class DollarCostAveraging
- extends java.lang.Object
Console program allocating a constant volatility asset and examining
the dollar cost averaging strategy 100 shares are bought at time
t=0 and at equal time intervals thereafter regardless of current price.
Computes the mean and standard deviation of:
- the gains from trading
- the maximum amount borrowed
- the maximum drawdown
- the total invested at time T
- 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)