Hello,
It's mentioned in the archive(reproduced below) that FD pricing
engine for continuously sampled arithmetic Asian option has not been
implemented in QuantLib. The archive message also mentioned that "one
needs to evolve two variables plus time. We have no support for that
yet (the current framework manages one variable plus the time.)" I'm
wondering if the current framework allows its pricing using Jan
Vecer's PDE which involves only one variable plus time. (Please see
equation (3.9), (3.10) and Table 1 in
http://www.stat.columbia.edu/~vecer/asian.pdf) If the current
framework allows it, I'd like to give it a try. What do you think?
Thanks a lot,
Stephen
http://www.cs.uwaterloo.ca/~sttse/On Wed, 2008-07-23 at 12:48 -0400, Robert Buchanan wrote:
> I see there are pricing engines for continuously sampled,
> geometrically averaged asian options (an analytic engine), for
> discretely sampled, geometrically averaged asian options (an analytic
> engine), and for discretely sampled, arithmetically averaged asian
> options (a Monte Carlo engine). However, I did not see a pricing
> engine for continuously sampled, arithmetically averaged asian
> options. Why is that?
There is no closed formula for continuously sampled, arithmetically
averaged options. The continuous case can be approximated by increasing
the number of fixing dates in the discrete case.
> Is the developer group waiting for someone to volunteer to implement
> that? Are there any PDE, perhaps finite difference-based pricing
> engines for these types of asian options?
They can be solved with finite-differences, but one needs to evolve two
variables plus time. We have no support for that yet (the current
framework manages one variable plus the time.)
Luigi
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