American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
SpotMuLambda Class Reference

Asset price with proportional transaction costs. More...

#include <spotmulambda.h>

Inheritance diagram for SpotMuLambda:
Spot

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 $ S $ is the underlying price, then the asset can be bought at $ S(1+\lambda)$ and sold at $ S(1-\mu)$.

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:
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