AnalyticContinuousGeometricAveragePriceAsianEngine Class Reference

Pricing engine for European continuous geometric average price Asian. More...

#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
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
ContinuousAveragingAsianOption::arguments arguments_
 
ContinuousAveragingAsianOption::results results_
 

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