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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)