AnalyticDiscreteGeometricAveragePriceAsianEngine Class Reference
[Asian option engines]
#include <ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp>
Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:
[legend]List of all members.
Detailed Description
Pricing engine for European discrete geometric average price Asian.
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
- Todo:
- implement correct theta, rho, dividend-rho, and vega calculation
- Tests:
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the available greeks is tested against numerical calculations.
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Public Member Functions |
void | calculate () const |
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