analytic_cont_geom_av_price.hpp

Langue: en

Autres versions - même langue

Version: 377342 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/asian/analytic_cont_geom_av_price.hpp -

Analytic engine for continuous geometric average price Asian.

SYNOPSIS


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

Classes


class AnalyticContinuousGeometricAveragePriceAsianEngine
Pricing engine for European continuous geometric average price Asian.

Detailed Description

Analytic engine for continuous geometric average price Asian.

Author

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