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analyticcontinuousfixedlookback.hpp
Langue: en
Version: 168249 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp - Analytic engine for continuous fixed-strike lookback.SYNOPSIS
#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Classes
class AnalyticContinuousFixedLookbackEngine
Pricing engine for European continuous fixed-strike lookback.
Detailed Description
Analytic engine for continuous fixed-strike lookback.
Author
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