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QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine
Langue: en
Version: 373273 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine -Pricing engine for European continuous geometric average price Asian.
SYNOPSIS
#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>
Inherits QuantLib::ContinuousAveragingAsianOption::engine.
Public Member Functions
AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Detailed Description
Pricing engine for European continuous geometric average price Asian.
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.
Tests
-
- *
- the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
- *
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Possible enhancements
- handle seasoned options
Author
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