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 |
Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
| ContinuousAveragingAsianOption::arguments | arguments_ |
| ContinuousAveragingAsianOption::results | results_ |
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.