analytic_cont_geom_av_price (3) Linux Manual Page
NAME
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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