Dear
All,
I'm trying to
price discrete arithmetic Asian options in EXCEL using the ADGAPA-pricing
engine
and the
AverageType "Arithmetic" with the
qlDaAsianOption-Opject.
To feed the
current average and the corresponding number of observations into the valuation,
I've used the
RunningAccumulator (current Average) and PastFixings (number of alread
occured
ovservations). For
the observation dates still to come I feed an array of future dates into
the
the
qlDaAsianOption-Opject.
Apparently the
RunningAccumulator and PastFixings have no impact on th npv, as it dosen't
change at all when
I vary the RunningAccumulator and/or PastFixings.
Any Idea what's
wrong in my approach?
Many
thanks
Rainer
Rainer
Huber, CFA
Financial
Engineering
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