American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
americanselleroptional.h
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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_AMERICAN_SELLER_H
00021 #define TREEPRODUCT_AMERICAN_SELLER_H
00022 
00023 //#include "americanseller.h"
00024 
00026 
00031 class TreeProductAmericanSellerOptional : public TreeProductAmericanSeller
00032 {
00033 
00034 public:
00035         TreeProductAmericanSellerOptional (const coefficient expiry, const PayoffBridge& payoff) : TreeProductAmericanSeller(expiry, payoff) {};
00036 
00037         PiecewiseLinear final_hedge (const Spot& spot) const
00038         {
00039           PiecewiseLinear hedge = payoff_hedge (expiry(), spot);
00040           ensure_solvent (hedge, spot);
00041           return hedge;
00042         };
00043 
00044     coefficient random_exercise (const coefficient t, const Spot& spot, const PiecewiseLinear& current_hedge, const PiecewiseLinear& future_hedge, const coefficient x, coefficient& y, coefficient& S, const Portfolio& portfolio) const
00045     {
00046         std::vector<PiecewiseLinear> g;
00047         g.push_back (payoff_hedge (expiry(), spot));
00048         if (equal (t,expiry()))
00049         g.push_back (solvency_cone (spot));
00050         else
00051         {
00052                 g.push_back (future_hedge);
00053                 g[1].restrict_slope (-spot.ask(), -spot.bid());
00054         }
00055 
00056         std::vector<coefficient> p, X;
00057 
00058         coefficient shares = portfolio.shares();
00059         untangle_maximum (current_hedge, g, x, shares, p, X);
00060 
00061         S = X[0];
00062         y = X[1];
00063 
00064         return p[0];
00065    }
00066 
00067 };
00068 
00069 #endif // TREEPRODUCT_AMERICAN_SELLER_H
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