AnalyticDiscreteGeometricAveragePriceAsianEngine Class Reference
Pricing engine for European discrete geometric average price Asian. More...
#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>
Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

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