This module contains functions that compute prices of standard and barrier options in cfl::AssetModel.
At maturity dMaturity a holder can buy the American put option (with strike dPutStrike and exercise times rExerciseTimes) at the price dCompoundCallStrike.
- Parameters
-
dMaturity | The maturity of call option on American put. |
dCompoundCallStrike | The strike of call option on American put. |
dPutStrike | The strike of American put. |
rExerciseTimes | The exercise times for American put. The first exercise time rExerciseTimes.front() is strictly greater than dMaturity. |
rModel | Reference to implementation of AssetModel. |
- Returns
- The price of the option as the function of the initial values of the state processes in the model.