QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine

Langue: en

Autres versions - même langue

Version: 151391 (fedora - 04/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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

Generated automatically by Doxygen for QuantLib from the source code.