AnalyticContinuousGeometricAveragePriceAsianEngine Class Reference

Pricing engine for European continuous geometric average price Asian. More...

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

Inheritance diagram for AnalyticContinuousGeometricAveragePriceAsianEngine:

Public Member Functions
	AnalyticContinuousGeometricAveragePriceAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void	calculate () const

Additional Inherited Members
Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
ContinuousAveragingAsianOption::arguments	arguments_
ContinuousAveragingAsianOption::results	results_

Detailed Description

Pricing engine for European continuous geometric average price Asian.

This class implements a continuous geometric average price Asian option with European exercise. The formula is from "Option Pricing Formulas", E. G. Haug (1997) pag 96-97.

Tests:

• the correctness of the returned value is tested by reproducing results available in literature, and results obtained using a discrete average approximation.
• the correctness of the returned greeks is tested by reproducing numerical derivatives.

Possible enhancements:

handle seasoned options