![]() QuantLib 0.3.7Getting startedReference manual |
ContinuousGeometricAPO Class Reference#include <ql/Pricers/continuousgeometricapo.hpp>
Detailed DescriptionContinuous 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
|
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |