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MC engine for pricing arithmetic asian option in quanlibXL

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Yiwen Yang

MC engine for pricing arithmetic asian option in quanlibXL

Hi,

I've just tried to implement Monte Carlo pricing engine for arithmetic asian option in Excel spreadsheet by quanlitXL 1.7 but could not find related methods. Thus, will it be available to implement Monte Carlo pricing engine in Excel by quantlib?

Thank you very much!

Yiwen

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Luigi Ballabio

Re: MC engine for pricing arithmetic asian option in quanlibXL

Hello,

the MC engine is implemented in the underlying C++ library, but the Excel addin doesn't include it. (Only the constructors for the Asian options and the analytic geometric-average engine are). You can try adding it by following the instructions at <http://quantlib.org/quantlibaddin/tutorials.html>.

Luigi

On Tue, Sep 27, 2016 at 9:05 AM Yiwen Yang <[hidden email]> wrote:

Hi,

I've just tried to implement Monte Carlo pricing engine for arithmetic asian option in Excel spreadsheet by quanlitXL 1.7 but could not find related methods. Thus, will it be available to implement Monte Carlo pricing engine in Excel by quantlib?
Thank you very much!

Yiwen
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