analytic_discr_geom_av_price (3) - Linux Manuals

analytic_discr_geom_av_price: Analytic engine for discrete geometric average price Asian.

NAME

ql/pricingengines/asian/analytic_discr_geom_av_price.hpp - Analytic engine for discrete geometric average price Asian.

SYNOPSIS

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

Classes

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

Detailed Description

Analytic engine for discrete geometric average price Asian.

Author

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