analytic_cont_geom_av_price_heston.hpp File Reference

Analytic engine for continuous geometric average price Asian in the Heston model. More...

#include <ql/instruments/asianoption.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/math/integrals/simpsonintegral.hpp>
#include <ql/exercise.hpp>
#include <complex>

Go to the source code of this file.

Classes
class	AnalyticContinuousGeometricAveragePriceAsianHestonEngine
	Pricing engine for European continuous geometric average price Asian. More...

Namespaces
namespace	QuantLib

Detailed Description

Analytic engine for continuous geometric average price Asian in the Heston model.

Definition in file analytic_cont_geom_av_price_heston.hpp.