Pricing engine for European discrete geometric average-strike Asian option. More...
#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
Public Member Functions | |
AnalyticDiscreteGeometricAverageStrikeAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Pricing engine for European discrete geometric average-strike Asian option.
This class implements a discrete geometric average-strike 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