QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine (3) Linux Manual Page
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine – Pricing engine for European continuous geometric average price Asian.
Synopsis
#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>Inherits QuantLib::ContinuousAveragingAsianOption::engine.
Public Member Functions
AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)void calculate () const
Detailed Description
Pricing engine for European continuous geometric average price Asian.This class implements a continuous geometric average price Asian option with European exercise. The formula is from ‘Option Pricing Formulas’, E. G. Haug (1997) pag 96-97.
Tests
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- the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
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- the correctness of the returned greeks is tested by reproducing numerical derivatives.
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Possible enhancements
- handle seasoned options