Re: pricing formulas

Posted by Ferdinando M. Ametrano-2 on
URL: http://quantlib.414.s1.nabble.com/pricing-formulas-tp2400p2402.html

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