AnalyticContGeomAvgPriceAsian

Subtype of Pricing Method

Corresponds to the QuantLib AnalyticContinuousGeometricAveragePriceAsian Engine.
Pricing engine for European continuous geometric average price Asian options.
Note this method ignores the discrete time schedule defined in the asian option, since it assumes the underlying value is recorded continuously.
It also fails to process past fixings.
The formula is from "VanillaOption Pricing Formulas", E. G. Haug (1997) pag 96-97