QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine

AnalyticContinuousGeometricAveragePriceAsianEngine — Pricing engine for European continuous geometric average price Asian.

Synopsis

#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>

Inherits ContinuousAveragingAsianOption::engine.

Public Member Functions

AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European continuous geometric average price Asian.

This class implements a continuous geometric average price Asian option with European exercise. The formula is from 'Option Pricing Formulas', E. G. Haug (1997) pag 96-97.

Tests

·
the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
·
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticContinuousGeometricAveragePriceAsianEngine(3) is an alias of QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib