AnalyticContinuousAveragingAsianEngine Class Reference
[Asian option engines]
#include <ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp>
Inheritance diagram for AnalyticContinuousAveragingAsianEngine:
[legend]List of all members.
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.
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Public Member Functions |
void | calculate () const |
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