Pricing engine for European discrete geometric average-strike Asian option. More...
#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
Public Member Functions | |
AnalyticDiscreteGeometricAverageStrikeAsianEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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DiscreteAveragingAsianOption::arguments | arguments_ |
DiscreteAveragingAsianOption::results | results_ |
Pricing engine for European discrete geometric average-strike Asian option.
This class implements a discrete geometric average-strike 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