SAMPLE EXAM 3
Functions
Standard and barrier options on a single stock.

Functions

cfl::MultiFunction prb::compoundCallAmericanPut (double dMaturity, double dCompoundCallStrike, double dPutStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel)
 

Detailed Description

This module contains functions that compute prices of standard and barrier options in cfl::AssetModel.

Function Documentation

cfl::MultiFunction prb::compoundCallAmericanPut ( double  dMaturity,
double  dCompoundCallStrike,
double  dPutStrike,
const std::vector< double > &  rExerciseTimes,
cfl::AssetModel rModel 
)

At maturity dMaturity a holder can buy the American put option (with strike dPutStrike and exercise times rExerciseTimes) at the price dCompoundCallStrike.

Parameters
dMaturityThe maturity of call option on American put.
dCompoundCallStrikeThe strike of call option on American put.
dPutStrikeThe strike of American put.
rExerciseTimesThe exercise times for American put. The first exercise time rExerciseTimes.front() is strictly greater than dMaturity.
rModelReference to implementation of AssetModel.
Returns
The price of the option as the function of the initial values of the state processes in the model.