Monte Carlo pricing engine for discrete average Asians. More...
#include <ql/pricingengines/mcsimulation.hpp>#include <ql/instruments/asianoption.hpp>#include <ql/processes/blackscholesprocess.hpp>
Classes | |
| class | MCDiscreteAveragingAsianEngine< RNG, S > |
| Pricing engine for discrete average Asians using Monte Carlo simulation. More... | |
Monte Carlo pricing engine for discrete average Asians.