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java.lang.Object Options.BasketOption Options.PathIndptBasketOption
Path independent European option on a basket of underlying assets.
Overrides some methods in BasketOption
with more efficient
methods taking advantage of the fact that the asset price vector is needed
only at expiration and hence large time steps can be taken.
Field Summary 
Fields inherited from class Options.BasketOption 
name 
Constructor Summary  
PathIndptBasketOption(Basket assets,
java.lang.String name)
Constructor, does not initialize the option price path. 
Method Summary  
double 
discountedMonteCarloPrice(double precision,
double confidence)
Monte Carlo price at time t=0 with price paths of the underlying simulated until desired precision is reached with desired confidence. 
double 
discountedMonteCarloPrice(int nPath)
Monte Carlo option price at time t=0. 
double 
discountedMonteCarloPrice(int t,
double precision,
double confidence)
Monte Carlo price at time t computed as a conditional expectation conditioned on information available at time t with price paths of the underlying simulated until desired precision is reached with desired confidence. 
double 
discountedMonteCarloPrice(int t,
int nPath)
Monte Carlo price at time t computed as a conditional expectation conditioned on information available at time t and computed from a sample of nPath (branches of) the price path of the underlying. 
RandomVariable 
discountedPayoff()
The discounted option payoff as a random variable based on the risk neutral probability. 
ColtVector 
monteCarloDeltas(int t,
int nPath)
The vector of Monte Carlo deltas of the underlying assets at time t computed in the risk neutral probability. 
void 
newDiscountedPricePath(int whichProbability,
int nPath)
Computes one path of the underlying S and a corresponding path C of the option (discounted prices). 
Methods inherited from class Options.BasketOption 
analyticDeltas, currentDiscountedPayoff, discountedAnalyticPrice, get_C, get_dim, get_dt, get_hasAnalyticPrice, get_T, get_underlying, getName, minimumVarianceDeltas 
Methods inherited from class java.lang.Object 
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait 
Constructor Detail 
public PathIndptBasketOption(Basket assets, java.lang.String name)
Constructor, does not initialize the option price path. This is left to the concrete subclasses which can decide wether analytic price formulas are available or not.
assets
 the underlying assets.name
 name of the option.Method Detail 
public RandomVariable discountedPayoff()
underlying.stepToHorizonSimulationInit(prob,t)
before you compute expectations of this.
discountedPayoff
in class BasketOption
public double discountedMonteCarloPrice(int t, int nPath)
Monte Carlo price at time t computed as a conditional expectation conditioned on information available at time t and computed from a sample of nPath (branches of) the price path of the underlying.
discountedMonteCarloPrice
in class BasketOption
t
 current time (determines information to condition on).nPath
 number of path branches used to compute the option price.public double discountedMonteCarloPrice(int nPath)
Monte Carlo option price at time t=0.
discountedMonteCarloPrice
in class BasketOption
nPath
 number of asset price paths used to compute the option price.public double discountedMonteCarloPrice(int t, double precision, double confidence)
Monte Carlo price at time t computed as a conditional expectation conditioned on information available at time t with price paths of the underlying simulated until desired precision is reached with desired confidence.
discountedMonteCarloPrice
in class BasketOption
t
 current time (determines information to condition on).precision
 absolute error bound.confidence
 probability with which the precision is reached.public double discountedMonteCarloPrice(double precision, double confidence)
Monte Carlo price at time t=0 with price paths of the underlying simulated until desired precision is reached with desired confidence.
See discountedMonteCarloPrice(int,double,double)
.
discountedMonteCarloPrice
in class BasketOption
precision
 absolute error bound.confidence
 probability with which the precision is reached.public void newDiscountedPricePath(int whichProbability, int nPath)
Computes one path of the underlying S and a corresponding path C of the option (discounted prices).
newDiscountedPricePath
in class BasketOption
whichProbability
 probability for simulation (risk neutral/market).nPath
 number of asset price path branches used in the Monte Carlo
computation of the option price at each time step.public ColtVector monteCarloDeltas(int t, int nPath)
The vector of Monte Carlo deltas of the underlying assets at time t computed in the risk neutral probability. It is assumed that a price path of the underlying asset has been computed up to time t.
monteCarloDeltas
in class BasketOption
t
 current time (time of branching).nPath
 number of asset price path branches expended on each
conditional expectation.


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