Analytic engine for continuous floating-strike lookback. More...
#include <ql/instruments/lookbackoption.hpp>#include <ql/processes/blackscholesprocess.hpp>#include <ql/math/distributions/normaldistribution.hpp>
Classes | |
| class | AnalyticContinuousFloatingLookbackEngine |
| Pricing engine for European continuous floating-strike lookback. More... | |
Analytic engine for continuous floating-strike lookback.