Options
Class Call

java.lang.Object
  Options.Option
      Options.PathIndependentOption
          Options.Call

Direct Known Subclasses:

BlackScholesCall

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

ANALYTIC_DELTA, ANALYTIC_MINIMUM_VARIANCE_DELTA, ANALYTIC_QUOTIENT_DELTA, MARKET_PROBABILITY, MINIMUM_VARIANCE_DELTA, MONTE_CARLO_DELTA, QUOTIENT_DELTA, RISK_NEUTRAL_PROBABILITY

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

Call

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.

Call

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

get_K

public double get_K()

The strike price.

currentDiscountedPayoff

public double currentDiscountedPayoff()

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

Specified by:

currentDiscountedPayoff in class Option