mcdiscreteasianengine (3) - Linux Manuals

mcdiscreteasianengine: Monte Carlo pricing engine for discrete average Asians.

NAME

ql/pricingengines/asian/mcdiscreteasianengine.hpp - Monte Carlo pricing engine for discrete average Asians.

SYNOPSIS

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

Classes

class MCDiscreteAveragingAsianEngine< RNG, S >
Pricing engine for discrete average Asians using Monte Carlo simulation.

Detailed Description

Monte Carlo pricing engine for discrete average Asians.

Author

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