Re: pricing formulas

Posted by Marco Marchioro-2 on
URL: http://quantlib.414.s1.nabble.com/pricing-formulas-tp2400p2401.html

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