asianengines man page

asianengines — Asian option engines

Classes

class AnalyticContinuousGeometricAveragePriceAsianEngine
Pricing engine for European continuous geometric average price Asian.
class AnalyticDiscreteGeometricAveragePriceAsianEngine
Pricing engine for European discrete geometric average price Asian.
class AnalyticDiscreteGeometricAverageStrikeAsianEngine
Pricing engine for European discrete geometric average-strike Asian option.
class MCDiscreteArithmeticAPEngine< RNG, S >
Monte Carlo pricing engine for discrete arithmetic average price Asian.
class MCDiscreteArithmeticASEngine< RNG, S >
Monte Carlo pricing engine for discrete arithmetic average-strike Asian.
class MCDiscreteGeometricAPEngine< RNG, S >
Monte Carlo pricing engine for discrete geometric average price Asian.
class MCDiscreteAveragingAsianEngine< RNG, S >
Pricing engine for discrete average Asians using Monte Carlo simulation.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib