mc_discr_arith_av_strike (3) - Linux Manuals

mc_discr_arith_av_strike: Monte Carlo engine for discrete arithmetic average-strike Asian.

NAME

ql/pricingengines/asian/mc_discr_arith_av_strike.hpp - Monte Carlo engine for discrete arithmetic average-strike Asian.

SYNOPSIS

#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp>
#include <ql/exercise.hpp>

Classes

class MCDiscreteArithmeticASEngine< RNG, S >
Monte Carlo pricing engine for discrete arithmetic average-strike Asian.

Detailed Description

Monte Carlo engine for discrete arithmetic average-strike Asian.

Author

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