AnalyticContinuousGeometricAveragePriceAsianEngine — Pricing engine for European continuous geometric average price Asian.
Public Member Functions
AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Additional Inherited Members
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.
- 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.
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The man page AnalyticContinuousGeometricAveragePriceAsianEngine(3) is an alias of QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine(3).