AnalyticContinuousGeometricAveragePriceAsianEngine Class Reference
[Asian option engines]
#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>
Inheritance diagram for AnalyticContinuousGeometricAveragePriceAsianEngine:

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 |