AnalyticDiscreteGeometricAveragePriceAsianEngine (3) - Linux Manuals

AnalyticDiscreteGeometricAveragePriceAsianEngine: Pricing engine for European discrete geometric average price Asian.

NAME

QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine - Pricing engine for European discrete geometric average price Asian.

SYNOPSIS

#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>

Inherits QuantLib::DiscreteAveragingAsianOption::engine.

Public Member Functions

AnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Detailed Description

Pricing engine for European discrete geometric average price Asian.

This class implements a discrete geometric average price 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, pag 65-97

Possible enhancements

implement correct theta, rho, and dividend-rho calculation

Tests

*

the correctness of the returned value is tested by reproducing results available in literature.

*

the correctness of the available greeks is tested against numerical calculations.

Author

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