AnalyticContinuousFixedLookbackEngine — Pricing engine for European continuous fixed-strike lookback.
Public Member Functions
AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Additional Inherited Members
Pricing engine for European continuous fixed-strike lookback.
Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.63-64
returned values are verified against results from literature
Generated automatically by Doxygen for QuantLib from the source code.
AnalyticContinuousFixedLookbackEngine(3) is an alias of QuantLib_AnalyticContinuousFixedLookbackEngine(3).