AnalyticDiscreteGeometricAveragePriceAsianEngine Class Reference
[Asian option engines]

#include <ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp>

Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

Inheritance graph
[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.


Public Member Functions

void calculate () const


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