AnalyticDiscreteAveragingAsianEngine Class Reference
[Asian option engines]
#include <ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp>
Inheritance diagram for AnalyticDiscreteAveragingAsianEngine:
[legend]List of all members.
Detailed Description
Pricing engine for European discrete geometric average Asian option.
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
- Bug:
- calculated Greeks do not match numerical results
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Public Member Functions |
void | calculate () const |
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