DiscreteGeometricASO Class Reference

#include <ql/legacy/pricers/discretegeometricaso.hpp>

Inheritance diagram for DiscreteGeometricASO:

List of all members.


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

Public Member Functions

 DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, Volatility volatility)
Real value () const
Real delta () const
Real gamma () const
Real theta () const
boost::shared_ptr
< SingleAssetOption
clone () const