AnalyticContinuousFixedLookbackEngine (3) Linux Manual Page
QuantLib::AnalyticContinuousFixedLookbackEngine – Pricing engine for European continuous fixed-strike lookback.
Synopsis
#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>Inherits QuantLib::ContinuousFixedLookbackOption::engine.
Public Member Functions
AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)void calculate () const
Detailed Description
Pricing engine for European continuous fixed-strike lookback.Formula from ‘Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.63-64
Tests
- returned values are verified against results from literature