American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
|
Asset price with proportional transaction costs. More...
#include <spotmulambda.h>
Public Member Functions | |
coefficient | ask () const |
coefficient | bid () const |
SpotMuLambda (coefficient underlying, coefficient mu, coefficient lambda) | |
coefficient | underlying () const |
Asset price with proportional transaction costs.
If is the underlying price, then the asset can be bought at
and sold at
.
SpotMuLambda::SpotMuLambda | ( | coefficient | underlying, |
coefficient | mu, | ||
coefficient | lambda | ||
) | [inline] |
Asset can be bought at underlying (1 + lambda) and sold at underlying (1 - mu).
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.