AnalyticDiscreteGeometricAveragePriceAsianEngine — Pricing engine for European discrete geometric average price Asian.
Public Member Functions
AnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Additional Inherited Members
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
- 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.
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AnalyticDiscreteGeometricAveragePriceAsianEngine(3) is an alias of QuantLib_AnalyticDiscreteGeometricAveragePriceAsianEngine(3).