DiscreteGeometricASO Class Reference
#include <ql/legacy/pricers/discretegeometricaso.hpp>
Inheritance diagram for DiscreteGeometricASO:

Detailed Description
Discrete geometric average-strike Asian option (European style).This class implements a discrete geometric average strike 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, pag65-97
- Todo:
- add analytical greeks
Public Member Functions | |
DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > ×, Volatility volatility) | |
Real | value () const |
Real | delta () const |
Real | gamma () const |
Real | theta () const |
boost::shared_ptr< SingleAssetOption > | clone () const |