analytic_cont_geom_av_price (3) - Linux Manuals

analytic_cont_geom_av_price: Analytic engine for continuous geometric average price Asian.

NAME

ql/pricingengines/asian/analytic_cont_geom_av_price.hpp - Analytic engine for continuous geometric average price Asian.

SYNOPSIS

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

Classes

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

Detailed Description

Analytic engine for continuous geometric average price Asian.

Author

Generated automatically by Doxygen for QuantLib from the source code.