analytic_discr_geom_av_price_heston.hpp File Reference

Analytic engine for discrete 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/exercise.hpp>
#include <complex>

Go to the source code of this file.

Classes
class	AnalyticDiscreteGeometricAveragePriceAsianHestonEngine
	Pricing engine for European discrete geometric average price Asian. More...

Namespaces
namespace	QuantLib

Detailed Description

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

Definition in file analytic_discr_geom_av_price_heston.hpp.