American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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#include <iomanip>
#include <iostream>
#include <vector>
#include "shortratecontinuous.h"
#include "shortratediscrete.h"
#include "flexibletree/binomial.h"
#include "flexibletree/trinomial.h"
#include "parameter/constantzeroinitial.h"
#include "parameter/constantzeroinitialfinal.h"
#include "parameter/integrablebridge.h"
#include "parameter/integrableconstant.h"
#include "payoff/bullspread.h"
#include "payoff/butterfly.h"
#include "payoff/callcashunderlying.h"
#include "payoff/callphysicalunderlying.h"
#include "payoff/callphysical.h"
#include "payoff/putcashunderlying.h"
#include "payoff/putphysical.h"
#include "treeproduct/americanbuyeroptional.h"
#include "treeproduct/americanselleroptional.h"
#include "treeproduct/europeanbuyeroptional.h"
#include "treeproduct/europeanselleroptional.h"
Functions | |
void | BoyleVorst1992 () |
void | EdirsingheNaikUppal1993 () |
void | existingresults () |
void | LohneRudloff2011 () |
void | outputheader () |
void | Palmer2001 () |
void | PerrakisLefoll2004 () |
void | Roux2008 () |
void | RouxTokarzZastawniak2008 () |
void | RouxZastawniak2009 () |
void | TokarzZastawniak2006 () |
Implementation of methods in existingresults.h.
void BoyleVorst1992 | ( | ) |
Boyle, P.P., Vorst, T., Option Replication in Discrete Time with Transaction Costs, The Journal of Finance, 1992, XLVII, 347-382.
void EdirsingheNaikUppal1993 | ( | ) |
Edirisinghe, C.; Naik, V. & Uppal, R. Optimal Replication of Options with Transactions Costs and Trading Restrictions The Journal of Financial and Quantitative Analysis, 1993, 28, 117-138.
void existingresults | ( | ) |
Catch-all function that compares with all known results.
void LohneRudloff2011 | ( | ) |
Lohne, A. & Rudloff, B. An algorithm for calculating the set of superhedging portfolios and strategies in markets with transaction costs 2011.
void outputheader | ( | ) |
void Palmer2001 | ( | ) |
Palmer, K., A note on the Boyle-Vorst discrete-time option pricing model with transactions costs, Mathematical Finance, 2001, 11, 357-363.
void PerrakisLefoll2004 | ( | ) |
Perrakis, S. & Lefoll, J. The American put under transactions costs Journal of Economic Dynamics and Control, 2004, 28, 915-935.
void Roux2008 | ( | ) |
Roux, A. Options under transaction costs: Algorithms for pricing and hedging of European and American options under proportional transaction costs and different borrowing and lending rates VDM Verlag, 2008.
void RouxTokarzZastawniak2008 | ( | ) |
Roux, A.; Tokarz, K. & Zastawniak, T. Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging Acta Applicandae Mathematicae, 2008, 103, 201-219.
void RouxZastawniak2009 | ( | ) |
Roux, A. & Zastawniak, T. American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions Acta Applicandae Mathematicae, 2009, 106, 199-228.
void TokarzZastawniak2006 | ( | ) |
Tokarz, K. & Zastawniak, T. American contingent claims under small proportional transaction costs Journal of Mathematical Economics, 2006, 43, 65-85.