Class AnalyticDiscreteGeometricAveragePriceAsianEngine
Pricing engine for European discrete geometric average price Asian
This class implements a discrete geometric average price 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
todo implement correct theta, rho, and dividend-rho calculation
test
the correctness of the returned value is tested by
reproducing results available in literature.
the correctness of the available greeks is tested against
numerical calculations.
Pricing engine for European discrete geometric average price Asian
This class implements a discrete geometric average price 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
todo implement correct theta, rho, and dividend-rho calculation
test