American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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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