ContinuousGeometricAPO Class Reference

#include <ql/Pricers/continuousgeometricapo.hpp>

List of all members.


Detailed Description

Continuous geometric average-price option (European exercise).

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

Deprecated:
use ContinuousAveragingAsianOption with AnalyticContinuousAveragingAsianEngine instead


Public Member Functions

 ContinuousGeometricAPO (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility)
Real value () const
Real delta () const
Real gamma () const
Real theta () const
Real vega () const
Real rho () const
Real dividendRho () const


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