discretegeometricaso (3) - Linux Manuals

discretegeometricaso: Discrete geometric average-strike Asian option.

NAME

ql/legacy/pricers/discretegeometricaso.hpp - Discrete geometric average-strike Asian option.

SYNOPSIS

#include <ql/legacy/pricers/singleassetoption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <vector>

Classes

class DiscreteGeometricASO
Discrete geometric average-strike Asian option (European style).

Detailed Description

Discrete geometric average-strike Asian option.

Author

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