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DiscreteGeometricASO Class Reference#include <ql/Pricers/discretegeometricaso.hpp>
Inheritance diagram for DiscreteGeometricASO: ![]() Detailed DescriptionDiscrete geometric average-strike Asian option (European style).This class implements a discrete geometric average strike 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, pag65-97
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