Options
Class DigitalOption

java.lang.Object
  extended byOptions.Option
      extended byOptions.DigitalOption

public class DigitalOption
extends Option

Plain vanilla European digital option. * *

Pays off 1 if S(T)>=K and 0 otherwise.

* *

Analytic Price: * defines analytic price and deltas. 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.

*


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
DigitalOption(double K, Asset asset)
           
 
Method Summary
 double analyticDelta(int t)
          Analytic delta computed from * discounted price S[t]=S^B(t).
 double currentDiscountedPayoff()
          Discounted payoff computed from discounted asset price S[T] at * expiration.
 double discountedAnalyticPrice(int t)
          Analytic price as function of t and the * discounted price S[t]=S^B(t) of the underlying at time t.
 
Methods inherited from class Options.Option
analyticGamma, analyticMinimumVarianceDelta, analyticQuotientDelta, analyticSGamma, analyticTheta, analyticThetaDelta, analyticVega, conditionalControlVariateCorrelation, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedPayoff, controlVariateCorrelation, currentDiscountedHedgeGain, discountedHedgeGain, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedPayoff, get_C, get_dt, get_T, get_underlying, getName, hasAnalyticPrice, minimumVarianceDelta, minimumVarianceDelta, 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

DigitalOption

public DigitalOption(double K,
                     Asset asset)
Parameters:
K - strike price. * @param asset underlying asset.
Method Detail

currentDiscountedPayoff

public double currentDiscountedPayoff()

Discounted payoff computed from discounted asset price S[T] at * expiration.

Specified by:
currentDiscountedPayoff in class Option

discountedAnalyticPrice

public double discountedAnalyticPrice(int t)

Analytic price as function of t and the * discounted price S[t]=S^B(t) of the underlying at time t.

* * @param t current time.

Overrides:
discountedAnalyticPrice in class Option

analyticDelta

public double analyticDelta(int t)

Analytic delta computed from * discounted price S[t]=S^B(t).

* * @param t current time.

Overrides:
analyticDelta in class Option