Pricing engine for European continuous geometric average price Asian. More...
#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>
Public Member Functions | |
AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Additional Inherited Members | |
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ContinuousAveragingAsianOption::arguments | arguments_ |
ContinuousAveragingAsianOption::results | results_ |
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.