Pricing engine for European continuous fixed-strike lookback. More...
#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>

Public Member Functions | |
| AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
| void | calculate () const |
Pricing engine for European continuous fixed-strike lookback.
Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.63-64