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DiscreteGeometricAPO Class Reference#include <ql/Pricers/discretegeometricapo.hpp>
Inheritance diagram for DiscreteGeometricAPO: ![]() Detailed DescriptionDiscrete geometric average-price Asian option (European style).This class implements a discrete geometric average price 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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