quantlib.pricingengines.asian.analyticdiscrgeomavprice.AnalyticDiscreteGeometricAveragePriceAsianEngine

class AnalyticDiscreteGeometricAveragePriceAsianEngine(GeneralizedBlackScholesProcess process)

Bases: PricingEngine

Pricing engine for European discrete geometric average price Asian option

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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)