AnalyticDiscreteGeometricAveragePriceAsianEngine Class Reference

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

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

Inheritance diagram for AnalyticDiscreteGeometricAveragePriceAsianEngine:

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

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

Detailed Description

Pricing engine for European discrete geometric average price Asian.

This class implements a discrete geometric average price 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

Possible enhancements:

implement correct theta, rho, and dividend-rho calculation

Tests:

• the correctness of the returned value is tested by reproducing results available in literature.
• the correctness of the available greeks is tested against numerical calculations.