Subtype of Pricing Method

Corresponds to the QuantLib AnalyticDiscreteGeometricAverageStrikeAsian Engine.
Pricing engine for European discrete geometric average strike Asian options.
Note that QuantLib (up to version 1.5) cannot process past fixings.
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