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Option
See:
Description
Class Summary  
AmericanBasketOption  American option on a basket of assets. 
AmericanBlackScholesPut  American put on a ConstantVolatilityAsset . 
AmericanOption  American option on a single asset. 
AmericanPutCvxTrigger  Exercise trigger for an American put on a basic BlackScholes asset using convex deformation of the pure continuation region (see AmericanOptions.tex). 
AmericanPutCvxTriggerBase  Base for an exercise trigger of an American BlackScholes put using convex deformation of the pure continuation region (see AmericanOptions.tex). 
BasketOption  Interface and default methods to price and hedge a possibly path path dependent European option on a basket of underlying assets. 
BlackScholesCall  Plain vanilla European call. 
Call  Plain vanilla European call. 
CallAsPathDependent  Plain vanilla European call declared as a path dependent option to test the pricing routines for path dependent options (full asset paths are computed to evaluate the option price). 
DigitalOption  Plain vanilla European digital option. 
Option  Interface and default methods to price and hedge a possibly path * path dependent European option on a single underlying asset. 
OptionToExchangeAssets  Warning: dividend reduction for analytic price and deltas not yet implemented. 
PathIndependentOption  The payoff of the option depends only on S(T) but not on S(t), t < T. 
PathIndptBasketOption  Path independent European option on a basket of underlying assets. 
Option
This class introduces European Options
on single assets and
baskets of assets as abstract classes and implements some concrete options
namely European calls on single assets and the option to exchange assets on
asset pairs.
Options have methods to compute their Monte Carlo price with and without control variate and to compute a variety of hedge weights leading to a variety of hedging strategies. These weights are described in the document HedgeWeights.ps.


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