Hello,
I was browsing the online documentation for QuantLib's asian option
pricing engines and now I have a question. 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? 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?
Thanks,
Bob
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