public class FeynmanKacEx3 extends Object
Evaluates the price of a European option with two payoff strategies.
This example evaluates the price of a European Option using two payoff strategies: Cash-or-Nothing and Vertical Spread. In the first case the payoff function is p(x)={0,x≤KB,x>K. The value B is regarded as the bet on the asset price, see Wilmott et al. (1995, p. 39-40). The second case has the payoff function p(x)=max Both problems use the same boundary conditions. Each case requires a separate integration of the Black-Scholes differential equation, but only the payoff function evaluation differs in each case. The sets of parameters in the computation are:
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FeynmanKacEx3() |
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