AnalyticDiscreteGeometricAverageStrikeAsianEngine Class Reference

Pricing engine for European discrete geometric average-strike Asian option. More...

#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>

Inheritance diagram for AnalyticDiscreteGeometricAverageStrikeAsianEngine:

List of all members.

Public Member Functions

 AnalyticDiscreteGeometricAverageStrikeAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const

Detailed Description

Pricing engine for European discrete geometric average-strike Asian option.

This class implements a discrete geometric average-strike 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

Tests:
  • the correctness of the returned value is tested by reproducing known good results.