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QuantLib_DiscreteGeometricASO
Langue: en
Version: 168572 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::DiscreteGeometricASO - Discrete geometric average-strike Asian option (European style).SYNOPSIS
#include <ql/legacy/pricers/discretegeometricaso.hpp>
Inherits QuantLib::SingleAssetOption.
Public Member Functions
DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > ×, Volatility volatility)
Real value () const
Real delta () const
Real gamma () const
Real theta () const
boost::shared_ptr< SingleAssetOption > clone () const
Detailed Description
Discrete 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
Author
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