Package Options

Package description: Option

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          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 Black-Scholes asset using convex deformation of the pure continuation region (see AmericanOptions.tex).
AmericanPutCvxTriggerBase Base for an exercise trigger of an American Black-Scholes 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.
 

Package Options Description

Package description: 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.