AnalyticContinuousAveragingAsianEngine Class Reference
[Asian option engines]

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

Inheritance diagram for AnalyticContinuousAveragingAsianEngine:

Inheritance graph
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Detailed Description

Pricing engine for European continuous geometric average Asian option.

This class implements a continuous geometric average price asian option with european exercise. The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97.


Public Member Functions

void calculate () const


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