American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
|
Bear spread. More...
#include <bearspread.h>
Public Member Functions | |
PayoffBearSpread * | clone () const |
Portfolio | operator() (const Spot &spot) const |
PayoffBearSpread (const coefficient K, const coefficient L) |
Bear spread.
The payoff consists of a short put option with strike and a long put option with strike
. Delivery of all options is simultaneous and in cash, based on the underlying stock price.
PayoffBearSpread::PayoffBearSpread | ( | const coefficient | K, |
const coefficient | L | ||
) | [inline] |
PayoffBearSpread* PayoffBearSpread::clone | ( | ) | const [inline, virtual] |
Clone constructor.
Implements Payoff.
Gives payoff of option under given spot price.
Implements Payoff.