AnalyticDiscreteGeometricAverageStrikeAsianEngine — Pricing engine for European discrete geometric average-strike Asian option.
Public Member Functions
AnalyticDiscreteGeometricAverageStrikeAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Additional Inherited Members
Pricing engine for European discrete geometric average-strike Asian option.
This class implements a discrete geometric average-strike 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 known good results.
Generated automatically by Doxygen for QuantLib from the source code.
AnalyticDiscreteGeometricAverageStrikeAsianEngine(3) is an alias of QuantLib_AnalyticDiscreteGeometricAverageStrikeAsianEngine(3).