QuantLib_AnalyticDiscreteGeometricAveragePriceAsianEngine (3) Linux Manual Page
QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEngine – Pricing engine for European discrete geometric average price Asian.
Synopsis
#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>Inherits QuantLib::DiscreteAveragingAsianOption::engine.
Public Member Functions
AnalyticDiscreteGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)void calculate () const
Detailed Description
Pricing engine for European discrete geometric average price Asian.This class implements a discrete geometric average price Asian option, with European exercise. The formula is from ‘Asian Option’, E. Levy (1997) in ‘Exotic Options: The State of the Art’, edited by L. Clewlow, C. Strickland, pag 65-97
Possible enhancements
- implement correct theta, rho, and dividend-rho calculation
Tests
- *
- the correctness of the returned value is tested by reproducing results available in literature.
- *
- the correctness of the available greeks is tested against numerical calculations.
- *