American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
|
00001 /* 00002 American option pricer under proportional transaction costs 00003 Copyright (C) 2011 Alet Roux alet.roux@york.ac.uk 00004 00005 This program is free software: you can redistribute it and/or modify 00006 it under the terms of the GNU General Public License as published by 00007 the Free Software Foundation, either version 3 of the License, or 00008 (at your option) any later version. 00009 00010 This program is distributed in the hope that it will be useful, 00011 but WITHOUT ANY WARRANTY; without even the implied warranty of 00012 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 00013 GNU General Public License for more details. 00014 00015 You should have received a copy of the GNU General Public License 00016 along with this program. If not, see <http://www.gnu.org/licenses/>. 00017 00018 */ 00019 00020 #ifndef TREEPRODUCT_EUROPEAN_SELLER_H 00021 #define TREEPRODUCT_EUROPEAN_SELLER_H 00022 00023 #include "europeanseller.h" 00024 00030 00031 00035 class TreeProductEuropeanSellerOptional : public TreeProductEuropeanSeller 00036 { 00037 00038 public: 00039 TreeProductEuropeanSellerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropeanSeller (expiry, payoff) {}; 00040 00041 PiecewiseLinear final_hedge (const Spot& spot) const 00042 { 00043 PiecewiseLinear hedge = payoff_hedge (spot); 00044 ensure_solvent (hedge, spot); 00045 return hedge; 00046 }; 00047 }; 00048 00049 #endif // TREEPRODUCT_EUROPEAN_SELLER_H