asianengines (3) - Linux Manuals

NAME

Asian option engines -

Classes

class AnalyticContinuousGeometricAveragePriceAsianEngine
Pricing engine for European continuous geometric average price Asian.
class AnalyticDiscreteGeometricAveragePriceAsianEngine
Pricing engine for European discrete geometric average price Asian.
class MCDiscreteArithmeticAPEngine< RNG, S >
Monte Carlo pricing engine for discrete arithmetic average price Asian.
class MCDiscreteArithmeticASEngine< RNG, S >
Monte Carlo pricing engine for discrete arithmetic average-strike Asian.
class MCDiscreteGeometricAPEngine< RNG, S >
Monte Carlo pricing engine for discrete geometric average price Asian.
class MCDiscreteAveragingAsianEngine< RNG, S >
Pricing engine for discrete average Asians using Monte Carlo simulation.

Detailed Description

Author

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