AnalyticDiscreteGeometricAveragePriceAsianEngine Class Reference
[Asian option engines]

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

Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

Inheritance graph
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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, and dividend-rho calculation
Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the available greeks is tested against numerical calculations.


Public Member Functions

void calculate () const