Author: Alet Roux alet.roux@york.ac.uk
Date: 31 October 2011
Version: 1.0.0.0

This program prices European and American options for the buyer and seller in two-asset models with proportional transaction costs. For more details please see the paper:

Roux, A. & Zastawniak, T. "American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions", Acta Applicandae Mathematicae, 2009, 106, 199-228.

The core of the code was developed while I was learning C++ some years ago. As a result, many of the classes were heavily influenced by existing code, in particular code from Mark Joshi's book "Design Patterns and Derivatives Pricing". I tried to give credit whenever possible, but it has been a long time since I wrote the code, so I apologise for any omissions. I would be grateful if any failure to give credit could be brought to my attention, so that I may correct it.

The code has been tested with the GNU compiler collection, version 4.6.1, on Ubuntu Linux 11.10 (Oneiric). Certain parts are well-tested, and certain parts not. Please report any bugs to me via email.

A couple of important files and directories:

American-transaction-costs.cbp: Code::Blocks 10.05 (www.codeblocks.org) project file.
Doxyfile: Config file for Doxygen 1.7.3 (www.doxygen.org)
doc/html/index.html: Documentation autogenerated by Doxygen.
README.txt: This file.
gpl-3.0.txt: This is the software licence.

I hope this code will be of some use. Please let me know if you find it useful, or have any comments or questions.
