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AnalyticDiscreteAveragingAsianEngine Class Reference#include <ql/PricingEngines/Asian/analyticasianengine.hpp>
Inheritance diagram for AnalyticDiscreteAveragingAsianEngine: ![]() Detailed DescriptionPricing engine for European discrete geometric average Asian option.This class implements a discrete geometric average price 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, pag 65-97
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