value (3) - Linux Manuals

value: Discrete geometric average-strike Asian option (European style).

Command to display value manual in Linux: $ man 3 value

NAME

QuantLib::DiscreteGeometricASO - Discrete geometric average-strike Asian option (European style).

SYNOPSIS

#include <ql/legacy/pricers/discretegeometricaso.hpp>

Inherits QuantLib::SingleAssetOption.

Public Member Functions

DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, Volatility volatility)

Real value () const

Real delta () const

Real gamma () const

Real theta () const

boost::shared_ptr< SingleAssetOption > clone () const

Detailed Description

Discrete geometric average-strike Asian option (European style).

This class implements a discrete geometric average strike 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, pag65-97

Author

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