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

- Main Page
- Namespaces
- Classes
- Files
- Directories

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions
SpotMuLambda Class Reference

Asset price with proportional transaction costs. More...

`#include <spotmulambda.h>`

Inheritance diagram for SpotMuLambda:

List of all members.

## Public Member Functions
coefficient | ask () const
coefficient | bid () const
| SpotMuLambda (coefficient underlying, coefficient mu, coefficient lambda)
coefficient | underlying () const

## Detailed Description

Asset price with proportional transaction costs.

If is the underlying price, then the asset can be bought at and sold at .

Author:
  Alet Roux <ar521@york.ac.uk>

## Constructor & Destructor Documentation

SpotMuLambda::SpotMuLambda | ( | coefficient | underlying,
|  | coefficient | mu,
|  | coefficient | lambda
| ) |  | `[inline]`

Asset can be bought at underlying (1 + lambda) and sold at underlying (1 - mu).

## Member Function Documentation

coefficient Spot::ask | ( |  | ) | const`[inline, inherited]`

Price at which asset may be bought.

coefficient Spot::bid | ( |  | ) | const`[inline, inherited]`

Price at which asset may be sold.

coefficient Spot::underlying | ( |  | ) | const`[inline, inherited]`

Underlying asset price.

The documentation for this class was generated from the following file:

- spotmulambda.h

All Classes Namespaces Files Functions Variables Typedefs Defines