Class Call

  extended byOptions.Option
      extended byOptions.PathIndependentOption
          extended byOptions.Call
Direct Known Subclasses:

public class Call
extends PathIndependentOption

Plain vanilla European call.

* *

Analytic Price: * All prices are discounted

prices, that is, * delta is the derivative of the discounted call price with respect to the * discounted price of the underlying and similarly for all the other greeks. * No assumptions are made on the underlying asset. It should be noted that * these analytic formulas are supported by theory only for nonstochastic * volatility assets.

* *

For the call a larger number of hedge weights ("deltas") are implemented. * The corresponding flags are defined in the calls call and we also have * routines to compute the hedge gains local to the class call. * The generality here is greater than in the cae of a general option. * For example we can simulate paths of the underlying both in the market * probability and the risk neutral probability.

* * @author Michael J. Meyer

Field Summary
Fields inherited from class Options.Option
Constructor Summary
Call(double K, Asset asset)
          Initializes option price C[0] with the Monte Carlo price, * and sets hasAnalyticPrice=false.
Call(double K, Asset asset, int forget)
          Does not initialize option price C[0].
Method Summary
 double currentDiscountedPayoff()
          Payoff computed from discounted price path t->S^B(t) of the * underlying asset.
 double get_K()
          The strike price.
Methods inherited from class Options.PathIndependentOption
controlledDiscountedPayoff, discountedPayoff, minimumVarianceDelta, minimumVarianceDelta
Methods inherited from class Options.Option
analyticDelta, analyticGamma, analyticMinimumVarianceDelta, analyticQuotientDelta, analyticSGamma, analyticTheta, analyticThetaDelta, analyticVega, conditionalControlVariateCorrelation, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlVariateCorrelation, currentDiscountedHedgeGain, discountedAnalyticPrice, discountedHedgeGain, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, get_C, get_dt, get_T, get_underlying, getName, hasAnalyticPrice, monteCarloDelta, newDiscountedPricePath, quotientDelta, quotientDelta, underlyingIsCVA, underlyingIsDividendFreeCVA
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail


public Call(double K,
            Asset asset)

Initializes option price C[0] with the Monte Carlo price, * and sets hasAnalyticPrice=false.

* * @param K strike price. * @param asset underlying asset.


public Call(double K,
            Asset asset,
            int forget)

Does not initialize option price C[0]. Is left to subclass

* * @param K strike price. * @param asset underlying asset. * @param forget dummy variable to generate distinct parameter signature, * assign any value.

Method Detail


public double get_K()
The strike price.


public double currentDiscountedPayoff()

Payoff computed from discounted price path t->S^B(t) of the * underlying asset.

Specified by:
currentDiscountedPayoff in class Option