AnalyticContinuousGeometricAveragePriceAsianEngine Class Reference
[Asian option engines]
Pricing engine for European continuous geometric average price Asian.
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#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>
Inheritance diagram for AnalyticContinuousGeometricAveragePriceAsianEngine:

Public Member Functions | |
AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
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.
- Possible enhancements:
- handle seasoned options