ContinuousGeometricAPO Class Reference

#include <continuousgeometricapo.hpp>

Inheritance diagram for ContinuousGeometricAPO:

Inheritance graph
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List of all members.

Detailed Description

Continuous Geometric Average Price Option (European exercise).

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

Todo:
add Average Strike version and make it backward starting


Public Member Functions

 ContinuousGeometricAPO (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility)
double vega () const
double rho () const
Handle< SingleAssetOptionclone () const


The documentation for this class was generated from the following file:

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