quantlib.pricingengines.asian.analyticcontgeomavprice.
AnalyticContinuousGeometricAveragePriceAsianEngine¶
- class AnalyticContinuousGeometricAveragePriceAsianEngine(GeneralizedBlackScholesProcess process)¶
Bases:
PricingEngine
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 [1].
References
[1]E.G. Haug “Option Pricing Formulas”, pp. 96-97, 1997