finMath lib documentation
net.finmath.montecarlo.assetderivativevaluation.products

Class AsianOption

• All Implemented Interfaces:
Product

public class AsianOption
extends AbstractAssetMonteCarloProduct
Implements the valuation of an Asian option. Given a model for an asset S, the Asian option with strike K, maturity T and averaging points Ti for i = 1,...,n pays
max(A(T) - K , 0) in T
where
A(T) = 1/n (S(T1)+ ... + S(Tn))
Version:
1.2
Author:
Christian Fries
• Constructor Summary

Constructors
Constructor and Description
AsianOption(double maturity, double strike, TimeDiscretizationInterface timesForAveraging)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double maturity, double strike, TimeDiscretizationInterface timesForAveraging, Integer underlyingIndex)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
• Method Summary

All Methods
Modifier and Type Method and Description
RandomVariableInterface getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
• Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

getValue
• Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
• Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
• Methods inherited from interface net.finmath.modelling.Product

getDescriptor, getValues
• Constructor Detail

• AsianOption

public AsianOption(double maturity,
double strike,
TimeDiscretizationInterface timesForAveraging,
Integer underlyingIndex)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case). A(T) = 1/n sum_{i=1,...,n} S(t_i), where t_i are given observation times.
Parameters:
strike - The strike K in the option payoff max(A(T)-K,0).
maturity - The maturity T in the option payoff maxAS(T)-K,0)
timesForAveraging - The times t_i used in the calculation of A(T) = 1/n sum_{i=1,...,n} S(t_i).
underlyingIndex - The index of the asset S to be fetched from the model
• AsianOption

public AsianOption(double maturity,
double strike,
TimeDiscretizationInterface timesForAveraging)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case). A(T) = 1/n sum_{i=1,...,n} S(t_i), where t_i are given observation times.
Parameters:
strike - The strike K in the option payoff max(A(T)-K,0).
maturity - The maturity T in the option payoff maxAS(T)-K,0)
timesForAveraging - The times t_i used in the calculation of A(T) = 1/n sum_{i=1,...,n} S(t_i).
• Method Detail

• getValue

public RandomVariableInterface getValue(double evaluationTime,
AssetModelMonteCarloSimulationInterface model)
throws CalculationException
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.
Specified by:
getValue in class AbstractAssetMonteCarloProduct
Parameters:
evaluationTime - The time on which this products value should be observed.
model - The model used to price the product.
Returns:
The random variable representing the value of the product discounted to evaluation time
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.