analytic_cont_geom_av_price (3) Linux Manual Page

ql/pricingengines/asian/analytic_cont_geom_av_price.hpp – Analytic engine for continuous geometric average price Asian.

Synopsis

#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes

class AnalyticContinuousGeometricAveragePriceAsianEngine
Pricing engine for European continuous geometric average price Asian.

Detailed Description

Analytic engine for continuous geometric average price Asian.

Author

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