AnalyticDiscreteAveragingAsianEngine Class Reference
[Asian option engines]

#include <ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp>

Inheritance diagram for AnalyticDiscreteAveragingAsianEngine:

Inheritance graph
[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


Public Member Functions

void calculate () const


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