Pricing engine for arithmetic Asian options. More...
#include <choiasianengine.hpp>
Inheritance diagram for ChoiAsianEngine:
Collaboration diagram for ChoiAsianEngine:
Public Member Functions | |
| ChoiAsianEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > p, Real lambda=15, Size maxNrIntegrationSteps=2<< 21) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| PricingEngine::arguments * | getArguments () const override |
| const PricingEngine::results * | getResults () const override |
| void | reset () override |
| void | update () override |
| Public Member Functions inherited from PricingEngine | |
| ~PricingEngine () override=default | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
| virtual void | reset ()=0 |
| virtual void | calculate () const =0 |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Private Attributes | |
| const ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
| const Real | lambda_ |
| const Size | maxNrIntegrationSteps_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| DiscreteAveragingAsianOption::arguments | arguments_ |
| DiscreteAveragingAsianOption::results | results_ |
Detailed Description
Pricing engine for arithmetic Asian options.
This class replicates an arithmetic Asian option using a basket option. The pricing of an arithmetic Asian option is substituted with the pricing of a basket option.
References: "Sum of all Black-Scholes-Merton Models: An efficient Pricing Method for Spread, Basket and Asian Options", Jaehyuk Choi, 2018 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2913048
A Python implementation from the author of the paper is also available https://github.com/PyFE/PyFENG
Definition at line 49 of file choiasianengine.hpp.
Constructor & Destructor Documentation
◆ ChoiAsianEngine()
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explicit |
Member Function Documentation
◆ calculate()
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overridevirtual |
Implements PricingEngine.
Definition at line 41 of file choiasianengine.cpp.
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Member Data Documentation
◆ process_
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private |
Definition at line 59 of file choiasianengine.hpp.
◆ lambda_
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private |
Definition at line 60 of file choiasianengine.hpp.
◆ maxNrIntegrationSteps_
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private |
Definition at line 61 of file choiasianengine.hpp.