QuantLib_AnalyticDiscreteGeometricAveragePriceAsianEngine

AnalyticDiscreteGeometricAveragePriceAsianEngine — Pricing engine for European discrete geometric average price Asian.

Synopsis

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

Inherits DiscreteAveragingAsianOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European discrete geometric average price Asian.

This class implements a discrete geometric average price Asian option, with European exercise. The formula is from 'Asian Option', E. Levy (1997) in 'Exotic Options: The State of the Art', edited by L. Clewlow, C. Strickland, pag 65-97

Tests

·
the correctness of the returned value is tested by reproducing results available in literature.
·
the correctness of the available greeks is tested against numerical calculations.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticDiscreteGeometricAveragePriceAsianEngine(3) is an alias of QuantLib_AnalyticDiscreteGeometricAveragePriceAsianEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib