Pricing engine for European continuous floating-strike lookback. More...
#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp>
Public Member Functions | |
AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Additional Inherited Members | |
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ContinuousFloatingLookbackOption::arguments | arguments_ |
ContinuousFloatingLookbackOption::results | results_ |
Pricing engine for European continuous floating-strike lookback.
Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.61-62