pricing formulas

[Robert Gutlederer]

Hi!

Is there any documentation for the pricing formulas used in Quantlib
(references to books or papers)? I'm especially interested in the formula
for discrete asian options. It's not in Hull or Haugg, and I could not find
it with google, either.

Thanks in advance,
regards
  r. gutlederer

[Ferdinando M. Ametrano-2]

Hi Robert

>Is there any documentation for the pricing formulas used in Quantlib
>(references to books or papers)? I'm especially interested in the formula
>for discrete asian options. It's not in Hull or Haugg, and I could not find
>it with google, either.
The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The
State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97

This reference is also documented in the actual C++ code:
http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib/ql/Pricers/discretegeometricaso.hpp?rev=HEAD&content-type=text/vnd.viewcvs-markup


------------
ciao -- Nando

[Marco Marchioro-2]

Hi,
Can you exactly pin-point(file, line number, etc) the formulas you
are interested to?

Marco Marchioro

At 03:58 PM 2/13/03 +0100, Robert Gutlederer wrote:

>Hi!
>
>Is there any documentation for the pricing formulas used in Quantlib
>(references to books or papers)? I'm especially interested in the formula
>for discrete asian options. It's not in Hull or Haugg, and I could not find
>it with google, either.
>
>Thanks in advance,
>regards
>   r. gutlederer