AnalyticContinuousGeometricAveragePriceAsianEngine Class Reference
[Asian option engines]

#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>

Inheritance diagram for AnalyticContinuousGeometricAveragePriceAsianEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Pricing engine for European continuous geometric average price Asian.

This class implements a continuous geometric average price Asian option with European exercise. The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
Todo:
handle seasoned options


Public Member Functions

void calculate () const