AnalyticDiscreteGeometricAverageStrikeAsianEngine Class Reference
[Asian option engines]
Pricing engine for European discrete geometric average-strike Asian option.
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#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
Inheritance diagram for AnalyticDiscreteGeometricAverageStrikeAsianEngine:

Public Member Functions | |
AnalyticDiscreteGeometricAverageStrikeAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Detailed Description
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
- Tests:
- the correctness of the returned value is tested by reproducing known good results.