analytic_discr_geom_av_strike.hpp

Langue: en

Version: 378583 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp -

Analytic engine for discrete geometric average-strike Asian option.

SYNOPSIS


#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


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

Detailed Description

Analytic engine for discrete geometric average-strike Asian option.

Author

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