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HimalayaPathPricer_old Class Reference#include <himalayapathpricer.hpp>
Inheritance diagram for HimalayaPathPricer_old: ![]() Detailed Descriptionmultipath pricer for European-type Himalaya optionThe payoff of an himalaya option is computed in the following way: given a basket of N assets, and M time periods, at end of each period the option which performed the best is added to the average and then discarded from the basket. At the end of the M periods the option pays the max between the strike and the average of the best performers.
The documentation for this class was generated from the following files:
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