analyticcontinuousfloatinglookback(3)
NAME
ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp – Analytic engine for continuous floating-strike lookback.
SYNOPSIS
#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Classes
class AnalyticContinuousFloatingLookbackEngine
Pricing engine for European continuous floating-strike lookback.
Detailed Description
Analytic engine for continuous floating-strike lookback.
Author
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