Gap option

Brought to you by: ericehlers, lballabio, nando

#42 Gap option

Status: closed-rejected

Owner: Luigi Ballabio

Labels: None

Priority: 5

Updated: 2010-10-06

Created: 2010-05-07

Creator: Hachemi Benyahia

Private: No

Digital gap option with an analytic engine.
A negative NPV is possible.
see:E.G. Haug p. 174 and 175

Discussion

Hachemi Benyahia - 2010-05-07

gapoption.hpp

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Hachemi Benyahia - 2010-05-07

gapoption.cpp

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Hachemi Benyahia - 2010-05-07

analyticgapengine.hpp

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Hachemi Benyahia - 2010-05-07

analyticgapengine.cpp

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Luigi Ballabio - 2010-10-06

assigned_to: nobody --> lballabio

status: open --> closed-rejected
If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Luigi Ballabio - 2010-10-06

Gap options are already available by passing a GapPayoff to EuropeanOption.

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Log in to post a comment.