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_EUROPEAN_SELLERNOOPTIONAL_H 00021 #define TREEPRODUCT_EUROPEAN_SELLERNOOPTIONAL_H 00022 00023 #include "european.h" 00024 00026 00030 class TreeProductEuropeanSeller : public TreeProductEuropean 00031 { 00032 00033 public: 00034 TreeProductEuropeanSeller (const coefficient expiry, const PayoffBridge& payoff) : TreeProductEuropean(expiry, payoff) {}; 00035 00036 coefficient current_price(const PiecewiseLinear& current, const Portfolio& holdings = Portfolio (0,0)) const 00037 { 00038 return sellers_price (current, holdings); 00039 } 00040 00041 PiecewiseLinear final_hedge (const Spot& spot) const 00042 { 00043 return payoff_hedge (spot); 00044 }; 00045 00046 }; 00047 00048 00049 #endif // TREEPRODUCT_EUROPEAN_SELLERNOOPTIONAL_H