AnalyticContinuousGeometricAveragePriceAsianEngine (3) - Linux Manuals

AnalyticContinuousGeometricAveragePriceAsianEngine: Pricing engine for European continuous geometric average price Asian.

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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