AnalyticDiscGeomAvgPriceAsian

Subtype of Pricing Method

Corresponds to the QuantLib AnalyticDiscreteGeometricAveragePriceAsian Engine.
Pricing engine for European discrete geometric average price Asian options.
The formula is from "Asian VanillaOption", E. Levy (1997) in "Exotic VanillaOptions: The State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97