mcdiscreteasianengine.hpp

Langue: en

Autres versions - même langue

Version: 379173 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/asian/mcdiscreteasianengine.hpp -

Monte Carlo pricing engine for discrete average Asians.

SYNOPSIS


#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


class MCDiscreteAveragingAsianEngine< RNG, S >
Pricing engine for discrete average Asians using Monte Carlo simulation.

Detailed Description

Monte Carlo pricing engine for discrete average Asians.

Author

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