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

## Class EuropeanOption

• All Implemented Interfaces:
ProductInterface

public class EuropeanOption
extends AbstractAssetMonteCarloProduct
Implements the valuation of a European option on a single asset. Given a model for an asset S, the European option with strike K, maturity T pays
V(T) = max(S(T) - K , 0) in T.
The getValue method of this class will return the random variable N(t) * V(T) / N(T), where N is the numerarie provided by the model. If N(t) is deterministic, calling getAverage on this random variable will result in the value. Otherwise a conditional expectation has to be applied.
Version:
1.3
Author:
Christian Fries
• ### Constructor Summary

Constructors
Constructor and Description
EuropeanOption(double maturity, double strike)
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double maturity, double strike, int underlyingIndex)
Construct a product representing an European 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
• ### Constructor Detail

• #### EuropeanOption

public EuropeanOption(double maturity,
double strike,
int underlyingIndex)
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
Parameters:
maturity - The maturity T in the option payoff max(S(T)-K,0)
strike - The strike K in the option payoff max(S(T)-K,0).
underlyingIndex - The index of the underlying to be fetched from the model.
• #### EuropeanOption

public EuropeanOption(double maturity,
double strike)
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
Parameters:
maturity - The maturity T in the option payoff max(S(T)-K,0)
strike - The strike K in the option payoff max(S(T)-K,0).
• ### 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.